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A semiparametric estimation of copula models based on the method of moments

✍ Scribed by Brahim Brahimi; Abdelhakim Necir

Book ID: 113917983
Publisher: Elsevier Science
Year: 2012
Tongue: English
Weight: 242 KB
Volume: 9
Category: Article
ISSN: 1572-3127
DOI: 10.1016/j.stamet.2011.11.003

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## ABSTRACT This paper proposes an adjustment of linear autoregressive conditional mean forecasts that exploits the predictive content of uncorrelated model residuals. The adjustment is motivated by non‐Gaussian characteristics of model residuals, and implemented in a semiparametric fashion by mean