Copulas:玩时变参数copulas

上传者: 42110533 | 上传时间: 2023-03-14 20:38:51 | 文件大小: 232KB | 文件类型: ZIP
科普拉斯 这只是对时变的copulas建模的第一次尝试。 到目前为止,仅适用于基于观察的模型(Croop等人,2013年的GAS和Koopman等人,2016年的ACM)。 并且仅适用于椭圆形系(高斯和学生t )。 参考 Creal,D.,SJ Koopman和A. Lucas(2013),“具有应用的广义自回归评分模型”, 《应用计量经济学》 ,28(5),777-795。 Koopman,SJ,A. Lucas和M.Scharth(2016),“使用参数驱动和观察驱动模型预测时变参数”, 《经济与统计评论》,98,97-110。

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