Evidence on copula-based double-hurdle models with flexible margins

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Evidence on copula-based double-hurdle models with flexible margins. / Schwiebert, Jörg.
In: Empirical Economics, Vol. 51, No. 1, 01.08.2016, p. 245-289.

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@article{8e65d94702904280bc4d4d8894a34c91,
title = "Evidence on copula-based double-hurdle models with flexible margins",
abstract = "I consider copula-based double-hurdle models with flexible marginal distributions. While the copula must be specified in advance, the marginal distributions are assumed to belong to a quite general class of distributions and need not be specified by the researcher in advance. A simulation study indicates that the copula-based double-hurdle models with flexible margins perform well even when the selected copula has been misspecified. An empirical application shows that copula-based double-hurdle models with flexible margins may outperform the conventionally used classical double-hurdle model based on a bivariate normality assumption.",
keywords = "Economics, Archimedean copulas, Copulas, Double-hurdle model, Flexible margins",
author = "J{\"o}rg Schwiebert",
year = "2016",
month = aug,
day = "1",
doi = "10.1007/s00181-015-0994-z",
language = "English",
volume = "51",
pages = "245--289",
journal = "Empirical Economics",
issn = "0377-7332",
publisher = "Springer VS",
number = "1",

}

RIS

TY - JOUR

T1 - Evidence on copula-based double-hurdle models with flexible margins

AU - Schwiebert, Jörg

PY - 2016/8/1

Y1 - 2016/8/1

N2 - I consider copula-based double-hurdle models with flexible marginal distributions. While the copula must be specified in advance, the marginal distributions are assumed to belong to a quite general class of distributions and need not be specified by the researcher in advance. A simulation study indicates that the copula-based double-hurdle models with flexible margins perform well even when the selected copula has been misspecified. An empirical application shows that copula-based double-hurdle models with flexible margins may outperform the conventionally used classical double-hurdle model based on a bivariate normality assumption.

AB - I consider copula-based double-hurdle models with flexible marginal distributions. While the copula must be specified in advance, the marginal distributions are assumed to belong to a quite general class of distributions and need not be specified by the researcher in advance. A simulation study indicates that the copula-based double-hurdle models with flexible margins perform well even when the selected copula has been misspecified. An empirical application shows that copula-based double-hurdle models with flexible margins may outperform the conventionally used classical double-hurdle model based on a bivariate normality assumption.

KW - Economics

KW - Archimedean copulas

KW - Copulas

KW - Double-hurdle model

KW - Flexible margins

UR - http://www.scopus.com/inward/record.url?scp=84938632139&partnerID=8YFLogxK

U2 - 10.1007/s00181-015-0994-z

DO - 10.1007/s00181-015-0994-z

M3 - Journal articles

VL - 51

SP - 245

EP - 289

JO - Empirical Economics

JF - Empirical Economics

SN - 0377-7332

IS - 1

ER -