High dimensional dynamic stochastic copula models

Published 2015 View Full Article

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Title
High dimensional dynamic stochastic copula models
Authors
Keywords
State space models, Dynamic copulas, Bayesian estimation, Particle filters, Credit default swaps
Journal
JOURNAL OF ECONOMETRICS
Volume 189, Issue 2, Pages 335-345
Publisher
Elsevier BV
Online
2015-04-26
DOI
10.1016/j.jeconom.2015.03.027

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