COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES

By Rustam Ibragimov. Econometric Theory, 2009

104 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/586946c3daaf0e3ec972f390a8abe9d263f26024

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

In Statistics and Probability

Citations in the corpus

Copulas in Econometrics (2014, background): “The majority of the literature considers parametric copula models (for nonparametric estimation of copulas, see Genest & Rivest 1993 and Capéraà et al. 1997 for i.i.d. data and Fermanian & Scaillet 2003, Fermanian et al. 2004, Sancetta & Satchell 2004, and Ibragimov 2009 for time series data).”
A review of copula models for economic time series (2012, background): “[29], Gagliardini and Gouriéroux [61], Ibragimov [95], and Ibragimov and Lentzas [96].”
Copula Methods for Forecasting Multivariate Time Series (2013, methodology): “Related articles include Genest and Rivest (1993) and Capéraà, et al. (1997) for iid data, and Fermanian and Scaillet (2003), Fermanian, et al. (2004), Sancetta and Satchell (2004) and Ibragimov (2009) for time series data. empirical illustration.”
Vine Copula Specifications for Stationary Multivariate Markov Chains (2015, background): “We consider not only first-order but also higher-order Markov chains, studied previously by Ibragimov (2009) through the lens of copula theory.”
Statistical Dependence: Beyond Pearson’s ρ (2018, methodology): “The pair copula has also been introduced in a Markov theory framework, and then in higher-order Markov processes, by Ibragimov (2009).”
An Overview of the Goodness-of-Fit Test Problem for Copulas (2012, background): “But the conditions of Markov coherence are complex (see [55]), and there is no general GOF strategy in this framework, to the best of our knowledge.”
Copula Theory: An Introduction (2010, background): “In this respect, the recent concept of Lévycopula (see [7, 10, 106, 99]) seems quite powerful and promising for modelling the large class of Lévy processes.”
TESTING FOR THE MARKOV PROPERTY IN TIME SERIES (2011, background): “For example, Darsow, Nguyen, and Olsen (1992) and Ibragimov (2007) provide copula-based characterizations of Markov processes.”