Copula hurdle GARCH models for multivariate non-negative time series
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F25%3A10506298" target="_blank" >RIV/00216208:11320/25:10506298 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=OVC7YpZkY_" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=OVC7YpZkY_</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00362-025-01713-x" target="_blank" >10.1007/s00362-025-01713-x</a>
Alternative languages
Result language
angličtina
Original language name
Copula hurdle GARCH models for multivariate non-negative time series
Original language description
This work addresses the modeling of multiple related time series with non-negative observations, many of which contain non-negligible portions of zeros. Each series is modeled univariately as a GARCH process, constrained to non-negative values. A parametric copula is used to introduce dependence among the time series, with the occurrence of zeros assumed to follow a multivariate Markov chain. The goal is to estimate the omnibus model parameters. The multivariate hurdle distribution and the dependence of zeros cause classical estimation techniques to fail. Therefore, a partial quasi-maximum likelihood approach is employed, using a generalized density supported on the closed orthant. Under simple and easily verifiable assumptions, the estimated parameters of the joint model are shown to be consistent. The empirical properties are demonstrated in a simulation study.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GF22-01639K" target="_blank" >GF22-01639K: Gradual Functional Changes - GraFuCha</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Statistical Papers
ISSN
0932-5026
e-ISSN
1613-9798
Volume of the periodical
66
Issue of the periodical within the volume
4
Country of publishing house
DE - GERMANY
Number of pages
19
Pages from-to
87
UT code for WoS article
001482788000001
EID of the result in the Scopus database
2-s2.0-105004351620