Semiparametric conditional mixture copula models with copula selection - Cai, Zongwu,Liu, Guannan,Long, Wei,Luo, Xuehong (University of Kansas, Department of Economics, 2023)
https://ideas.repec.org/p/kan/wpaper/202401.html
Keywords: Graue Literatur; Conditional Copula; Mixture Copula; Semiparametric Estimation; Copula Selection; SCAD; EM algorithm