| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076798 | Insurance: Mathematics and Economics | 2012 | 11 Pages |
Abstract
⺠Copula functions are used to model dependence dynamics between random variables. ⺠We include hidden first order Markov Chain to describe the dependence dynamics. ⺠We implement a block bootstrap procedure to estimate the covariance matrix. ⺠The method performance is tested by Monte Carlo simulation and empirical applications. ⺠Our model offers relevant insights about the dependence dynamics.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Osvaldo Candido da Silva Filho, Flavio Augusto Ziegelmann, Michael J. Dueker,