Flexible Estimation of Copulas: An Application to the US Housing Crisis (JAE 2016)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Anson T. Y. Ho, Kim P. Huynh, David T. Jacho-Chávez Flexible Estimation of Copulas: An Application to the US Housing Crisis JAE 2016 3 603-10 - -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
- - - Generalized autoregressive conditional heteroskedasticity (GARCH), Autoregressive model (AR), Nonparametric copula - Federal Housing Finance Agency Housing Price Index (HPI) 1975-2013 California, Arizona, Nevada, Florida, USA -

This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
David M. Zimmer The Role of Copulas in the Housing Crisis REStat 2012 2 607-20 - - 4 - (new methods & data) - - - -

References

DOI: 10.1002/jae.2437 IDEAS: a/wly/japmet/v31y2016i3p603-610.html EconPapers: RePEc:wly:japmet:v:31:y:2016:i:3:p:603-610


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