Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models
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More about this item
Keywords
Semi-nonparametric dynamic models; Residual copulas; Semiparametric multistep; Residual sieve maximum likelihood; Semiparametric efficiency;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-01-06 (Econometrics)
- NEP-ETS-2020-01-06 (Econometric Time Series)
- NEP-ORE-2020-01-06 (Operations Research)
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