Semiparametric estimation and model selection for conditional mixture copula models

Liu, GN; Long, W; Yang, BD; Cai, ZW

Yang, BD (corresponding author), Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou 510275, Guangdong, Peoples R China.

SCANDINAVIAN JOURNAL OF STATISTICS, ; ():

Abstract

Conditional copula models allow the dependence structure among variables to vary with covariates, and thus can describe the evolution of the dependenc......

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