Efficient estimation of a semiparametric dynamic copula model
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- Hafner, Christian & Reznikova, Olga, 2010. "Efficient estimation of a semiparametric dynamic copula model," LIDAM Reprints ISBA 2010033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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Keywords
Dynamic copula Semiparametric estimation Local likelihood Efficiency;Statistics
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