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Copula-Based Regression Estimation and Inference

✍ Scribed by Noh, Hohsuk; Ghouch, Anouar El; Bouezmarni, Taoufik


Book ID
121460538
Publisher
American Statistical Association
Year
2013
Tongue
English
Weight
522 KB
Volume
108
Category
Article
ISSN
0162-1459

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## SUMMARY We propose a new dynamic copula model in which the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with stochastic correlation process, it can be viewed as a generalization of multivariate stochastic volatility model