Modeling statistical dependence of Markov chains via copula models

[1]  Patrick Billingsley,et al.  Statistical inference for Markov processes , 1961 .

[2]  H. White.  Maximum Likelihood Estimation of Misspecified Models , 1982 .

[3]  W. Newey,et al.  A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .

[4]  W. Newey,et al.  A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .

[5]  C. Genest,et al.  Statistical Inference Procedures for Bivariate Archimedean Copulas , 1993 .

[6]  P. Doukhan.  Mixing: Properties and Examples , 1994 .

[7]  J. Davidson.  Stochastic Limit Theory , 1994 .

[8]  Michael Sørensen,et al.  A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes , 1994 .

[9]  T. Louis,et al.  Inferences on the association parameter in copula models for bivariate survival data. , 1995, Biometrics.

[10]  H. Joe,et al.  The Estimation Method of Inference Functions for Margins for Multivariate Models , 1996 .

[11]  H. Joe.  Multivariate models and dependence concepts , 1998 .

[12]  R. Nelsen.  An Introduction to Copulas , 1998 .

[13]  Emiliano A. Valdez,et al.  Understanding Relationships Using Copulas , 1998 .

[14]  T. Ferguson,et al.  Kendall's tau for serial dependence , 2000 .

[15]  細谷 雄三.  書評 Asymptotic Theory of Statistical Inference for Time Series (Springer Series in statistics), (2000) Springer, Masanobu Taniguchi and Yoshihide Kakizawa , 2001 .

[16]  Gaël Riboulet,et al.  Financial Applications of Copula Functions , 2007 .

[17]  Xiaohong Chen,et al.  Estimation of Copula-Based Semiparametric Time Series Models , 2006 .

[18]  Galin L. Jones.  On the Markov chain central limit theorem , 2004, math/0409112.

[19]  H. Joe.  Asymptotic efficiency of the two-stage estimation method for copula-based models , 2005 .

[20]  Yanqin Fan,et al.  Pseudo‐likelihood ratio tests for semiparametric multivariate copula model selection , 2005 .