Estimation in copula models with two-piece skewed margins using the inference for margins method
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| Title: | Estimation in copula models with two-piece skewed margins using the inference for margins method |
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| Authors: | Jonas Baillien, Irène Gijbels, Anneleen Verhasselt |
| Source: | Econometrics and Statistics. 34:91-108 |
| Publisher Information: | Elsevier BV, 2025. |
| Publication Year: | 2025 |
| Subject Terms: | Science & Technology, Fisher information, Economics, Statistics & Probability, 05 social sciences, Social Sciences, Generalized method of moments, Skewed distributions, 01 natural sciences, 4905 Statistics, 3802 Econometrics, T COPULAS, Business & Economics, Physical Sciences, 0502 economics and business, Asymptotic normality, Consistency, 0101 mathematics, Mathematics |
| Description: | sponsorship: The authors thank an Associate Editor and two reviewers for their valuable comments, which led to an improvement of the manuscript. The first and second author gratefully acknowledge support from the Research Fund KU Leuven [C16/20/002 project] . The third author was supported by Special Research Fund (Bijzonder Onderzoeksfonds) of Hasselt University [BOF14NI06] (Research Fund KU Leuven|C16/20/002, Special Research Fund (Bijzonder Onderzoeksfonds) of Hasselt University|BOF14NI06) |
| Document Type: | Article |
| Language: | English |
| ISSN: | 2452-3062 |
| DOI: | 10.1016/j.ecosta.2022.05.002 |
| Access URL: | https://lirias.kuleuven.be/handle/20.500.12942/710126 https://doi.org/10.1016/j.ecosta.2022.05.002 |
| Rights: | Elsevier TDM |
| Accession Number: | edsair.doi.dedup.....d317dd7b71190dd4216e7407f61e114a |
| Database: | OpenAIRE |
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Nájsť tento článok vo Web of Science | Abstract: | sponsorship: The authors thank an Associate Editor and two reviewers for their valuable comments, which led to an improvement of the manuscript. The first and second author gratefully acknowledge support from the Research Fund KU Leuven [C16/20/002 project] . The third author was supported by Special Research Fund (Bijzonder Onderzoeksfonds) of Hasselt University [BOF14NI06] (Research Fund KU Leuven|C16/20/002, Special Research Fund (Bijzonder Onderzoeksfonds) of Hasselt University|BOF14NI06) |
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| ISSN: | 24523062 |
| DOI: | 10.1016/j.ecosta.2022.05.002 |