Modeling high-dimensional time-varying dependence using dynamic D-vine models

Article

Abstract: We consider the problem of modeling the dependence among many time series. We build high-dimensional

Palabras claves:

D-vines, efficient importance sampling, generalized autoregressive score, sequential estimation, stock return dependence, time-varying copula

Autores:

Carlos Almeida, Czado C., Manner H.

Fuentes:

scopus