Generalized Additive Models for Pair-Copula Constructions
将广义可加模型引入对偶连接函数，使每个对偶连接参数可以参数、半参数或非参数地依赖协变量，提出序贯估计方法，并用于研究四种主要汇率日内收益的时变相依结构。
Pair-copula constructions are flexible dependence models that use bivariate copulas as building blocks. In this article, we extend them with generalized additive models to allow covariates effects. Borrowing ideas from a traditionally univariate context, we let each pair-copula parameter depend directly on the covariates in a parametric, semiparametric, or nonparametric way. We propose a sequential estimation method that we study by simulation, and apply it to investigate the time-varying dependence structure between the intraday returns on four major foreign exchange rates. An R package, scripts reproducing the results in this article, and additional simulation results are provided as supplementary material.