Some aspects of modeling dependence in copula-based Markov chains
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DOI: 10.1016/j.jmva.2012.01.025
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Cited by:
- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017.
"Quantile spectral analysis for locally stationary time series,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
- Stefan Skowronek & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2014. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ecares 2014-24, ULB -- Universite Libre de Bruxelles.
- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2015. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ECARES 2015-27, ULB -- Universite Libre de Bruxelles.
- Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020.
"Copula-Based Time Series With Filtered Nonstationarity,"
Cowles Foundation Discussion Papers
2242R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2020.
- Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020. "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers 2242, Cowles Foundation for Research in Economics, Yale University.
- Nagler, Thomas & Krüger, Daniel & Min, Aleksey, 2022. "Stationary vine copula models for multivariate time series," Journal of Econometrics, Elsevier, vol. 227(2), pages 305-324.
- Fang Han, 2018. "An Exponential Inequality for U-Statistics Under Mixing Conditions," Journal of Theoretical Probability, Springer, vol. 31(1), pages 556-578, March.
- Chen, Xiaohong & Xiao, Zhijie & Wang, Bo, 2022. "Copula-based time series with filtered nonstationarity," Journal of Econometrics, Elsevier, vol. 228(1), pages 127-155.
- Fan, Jianqing & Han, Fang & Liu, Han & Vickers, Byron, 2016.
"Robust inference of risks of large portfolios,"
Journal of Econometrics, Elsevier, vol. 194(2), pages 298-308.
- Jianqing Fan & Fang Han & Han Liu & Byron Vickers, 2015. "Robust Inference of Risks of Large Portfolios," Papers 1501.02382, arXiv.org.
- Martin Bladt & Alexander J. McNeil, 2021. "Time series models with infinite-order partial copula dependence," Papers 2107.00960, arXiv.org.
- Longla, Martial & Muia Nthiani, Mathias & Djongreba Ndikwa, Fidel, 2022. "Dependence and mixing for perturbations of copula-based Markov chains," Statistics & Probability Letters, Elsevier, vol. 180(C).
- Bladt Martin & McNeil Alexander J., 2022. "Time series with infinite-order partial copula dependence," Dependence Modeling, De Gruyter, vol. 10(1), pages 87-107, January.
- Brendan K. Beare & Juwon Seo, 2015. "Vine Copula Specifications for Stationary Multivariate Markov Chains," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 228-246, March.
- Richard C. Bradley, 2021. "On some basic features of strictly stationary, reversible Markov chains," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 499-533, September.
- Longla, Martial, 2015. "On mixtures of copulas and mixing coefficients," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 259-265.
- Martial Longla, 2024. "New copula families and mixing properties," Statistical Papers, Springer, vol. 65(7), pages 4331-4363, September.
- Bladt, Martin & McNeil, Alexander J., 2022. "Time series copula models using d-vines and v-transforms," Econometrics and Statistics, Elsevier, vol. 24(C), pages 27-48.
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More about this item
Keywords
Markov chains; Copula; Mixing conditions; Reversible processes;All these keywords.
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