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Dependence Calibration in Conditional Copulas: A Nonparametric Approach

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  • Elif F. Acar
  • Radu V. Craiu
  • Fang Yao

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  • Elif F. Acar & Radu V. Craiu & Fang Yao, 2011. "Dependence Calibration in Conditional Copulas: A Nonparametric Approach," Biometrics, The International Biometric Society, vol. 67(2), pages 445-453, June.
    • Handle: RePEc:bla:biomet:v:67:y:2011:i:2:p:445-453
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    File URL: http://hdl.handle.net/10.1111/j.1541-0420.2010.01472.x
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    References listed on IDEAS

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    1. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    2. Trivedi, Pravin K. & Zimmer, David M., 2007. "Copula Modeling: An Introduction for Practitioners," Foundations and Trends(R) in Econometrics, now publishers, vol. 1(1), pages 1-111, April.
    3. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
    4. Fermanian, Jean-David & Scaillet, Olivier, 2003. "Nonparametric estimation of copulas for time series," Working Papers unige:41797, University of Geneva, Geneva School of Economics and Management.
    5. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May.
    6. Jianqing Fan & Wenyang Zhang, 2000. "Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(4), pages 715-731, December.
    7. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
    8. Andrew J. Patton, 2006. "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, May.
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