Bayesian copula selection
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Frahm, Gabriel & Junker, Markus & Szimayer, Alexander, 2003. "Elliptical copulas: applicability and limitations," Statistics & Probability Letters, Elsevier, vol. 63(3), pages 275-286, July.
- Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
- Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
- Niall Whelan, 2004. "Sampling from Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 339-352.
- Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
- Rafael Schmidt, 2002. "Tail dependence for elliptically contoured distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(2), pages 301-327, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016.
"Copula--based Specification of vector MEMs,"
Papers
1604.01338, arXiv.org.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive 2016_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fantazzini, Dean, 2011.
"Analysis of multidimensional probability distributions with copula functions,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 98-134.
- Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. II," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 23(3), pages 98-132.
- Mendes, Beatriz Vaz de Melo & Arslan, Olcay, 2006. "Multivariate Skew Distributions Based on the GT-Copula," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(2), November.
- MICHIELS, Frederik & DE SCHEPPER, Ann, 2007. "A copula test space model: How to avoid the wrong copula choice," Working Papers 2007027, University of Antwerp, Faculty of Business and Economics.
- repec:jss:jstsof:21:i04 is not listed on IDEAS
- Cipollini, Fabrizio & Gallo, Giampiero M., 2010.
"Automated variable selection in vector multiplicative error models,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2470-2486, November.
- Fabrizio Cipollini & Giampiero M. Gallo, 2009. "Automated Variable Selection in Vector Multiplicative Error Models," Econometrics Working Papers Archive wp2009_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
- Nelsen, Roger B. & Quesada-Molina, José Juan & Rodriguez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2008. "On the construction of copulas and quasi-copulas with given diagonal sections," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 473-483, April.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017.
"Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity,"
Econometrics, MDPI, vol. 5(2), pages 1-24, April.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive 2017_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 80-100, August.
- Henryk Gurgul & Roland Mestel & Robert Syrek, 2008. "Polish Stock Market and some foreign markets - dependence analysis by copulas," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 18(2), pages 17-35.
- Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
- Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007.
"Selecting copulas for risk management,"
Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
- Koedijk, Kees & Verbeek, Marno & Kole, Erik, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers 5652, C.E.P.R. Discussion Papers.
- Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2016.
"Goodness-of-fit test for specification of semiparametric copula dependence models,"
Journal of Econometrics, Elsevier, vol. 193(1), pages 215-233.
- Shulin Zhang, & Ostap Okhrin, & Qian M. Zhou & Peter X.-K. Song, 2013. "Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models," SFB 649 Discussion Papers SFB649DP2013-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Liang Zhu & Christine Lim & Wenjun Xie & Yuan Wu, 2017. "Analysis of tourism demand serial dependence structure for forecasting," Tourism Economics, , vol. 23(7), pages 1419-1436, November.
- Frahm, Gabriel, 2006. "On the extremal dependence coefficient of multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1470-1481, August.
- Dobric, Jadran & Schmid, Friedrich, 2007. "A goodness of fit test for copulas based on Rosenblatt's transformation," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4633-4642, May.
- Szego, Giorgio, 2005.
"Measures of risk,"
European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
- Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
- Yanqin Fan & Xiaohong Chen & Andrew Patton, 2004. "(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," FMG Discussion Papers dp483, Financial Markets Group.
- A. Colin Cameron & Tong Li & Pravin K. Trivedi & David M. Zimmer, 2004.
"Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts,"
Econometrics Journal, Royal Economic Society, vol. 7(2), pages 566-584, December.
- A. Colin Cameron & Tong Li & Pravin K. Trivedi & David M. Zimmer, 2004. "Modeling the Differences in Counted Outcomes using Bivariate Copula Models: with Application to Mismeasured Counts," Working Papers 109, University of California, Davis, Department of Economics.
- Yan, Jun, 2007. "Enjoy the Joy of Copulas: With a Package copula," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 21(i04).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:51:y:2006:i:2:p:809-822. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.