A simple approach is to assume that dependence structure between
variables (which is characterized by copula) is constant throughout
the process. In this case, you may apply log-likelihood estimation of
copula parameters to ranked AR-GARCH process residuals.
A more complicated approach is to
Hello everyone,
I am learning about copulas and also do some MATLAB/R coding to get
better understanding of how copulas work.
Recently I have started coding simple copula-GARCH models, that is I
fit say AR(1)-GARCH(1,1)-normal models to univariate time series, and
then I want to fit the copula
2 matches
Mail list logo
