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Copulas in Econometrics

Citations

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Cited by:

  1. Yanqin Fan & Marc Henry, 2020. "Vector copulas," Papers 2009.06558, arXiv.org, revised Apr 2021.
  2. Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2020. "Risk endogeneity at the lender/investor-of-last-resort," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 283-297.
  3. Guannan Liu & Wei Long & Bingduo Yang & Zongwu Cai, 2022. "Semiparametric estimation and model selection for conditional mixture copula models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 287-330, March.
  4. Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2022. "Gaussian Rank Correlation and Regression," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, volume 43, pages 269-306, Emerald Group Publishing Limited.
  5. Panagiotou, Dimitrios & Stavrakoudis, Athanassios, 2017. "Vertical price relationships between different cuts and quality grades in the U.S. beef marketing channel: A wholesale-retail analysis," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 53-63.
  6. Hamori, Shigeyuki & Motegi, Kaiji & Zhang, Zheng, 2019. "Calibration estimation of semiparametric copula models with data missing at random," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 85-109.
  7. Benos, Nikos & Stavrakoudis, Athanassios, 2022. "Okun's law: Copula-based evidence from G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 478-491.
  8. Hoang Nguyen & M Concepción Ausín & Pedro Galeano, 2019. "Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 118-151.
  9. Brandão, Lucas G.L. & Ehrl, Philipp, 2022. "The impact of transmission auctions on Brazilian electric power companies," Utilities Policy, Elsevier, vol. 78(C).
  10. Martin Bladt & Alexander J. McNeil, 2020. "Time series copula models using d-vines and v-transforms," Papers 2006.11088, arXiv.org, revised Jul 2021.
  11. Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021. "Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
  12. Mayer, Alexander & Wied, Dominik, 2023. "Estimation and inference in factor copula models with exogenous covariates," Journal of Econometrics, Elsevier, vol. 235(2), pages 1500-1521.
  13. Dardati, Evangelina & Saygili, Meryem, 2020. "Aggregate impacts of cap-and-trade programs with heterogeneous firms," Energy Economics, Elsevier, vol. 92(C).
  14. Iryna Kyzyma & Alessio Fusco & Philippe Van Kerm, 2022. "Distributional Change: Assessing the Contribution of Household Income Sources," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 158-184, February.
  15. Martyna Kobus & Radoslaw Kurek, 2017. "Copula-based measurement of interdependence for discrete distributions," Working Papers 431, ECINEQ, Society for the Study of Economic Inequality.
  16. Woraphon Yamaka & Rangan Gupta & Sukrit Thongkairat & Paravee Maneejuk, 2023. "Structural and predictive analyses with a mixed copula‐based vector autoregression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 223-239, March.
  17. Barry K. Goodwin & Matthew T. Holt & Gülcan Önel & Jeffrey P. Prestemon, 2018. "Copula-based nonlinear modeling of the law of one price for lumber products," Empirical Economics, Springer, vol. 54(3), pages 1237-1265, May.
  18. Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020. "Hypothesis tests with a repeatedly singular information matrix," CEPR Discussion Papers 14415, C.E.P.R. Discussion Papers.
  19. Kobus, Martyna & Kurek, Radosław, 2018. "Copula-based measurement of interdependence for discrete distributions," Journal of Mathematical Economics, Elsevier, vol. 79(C), pages 27-39.
  20. Ba Chu & Stephen Satchell, 2016. "Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence," Econometrics, MDPI, vol. 4(2), pages 1-21, March.
  21. Selmi, Refk & Hammoudeh, Shawkat & Kasmaoui, Kamal & Sousa, Ricardo M. & Errami, Youssef, 2022. "The dual shocks of the COVID-19 and the oil price collapse: A spark or a setback for the circular economy?," Energy Economics, Elsevier, vol. 109(C).
  22. Boikos, Spyridon & Bournakis, Ioannis & Christopoulos, Dimitris & McAdam, Peter, 2023. "Financial reforms and innovation: A micro–macro perspective," Journal of International Money and Finance, Elsevier, vol. 132(C).
  23. Oliver R. Cutbill & Rami V. Tabri, 2022. "The Impossibility of Testing for Dependence Using Kendall’s Ƭ Under Missing Data of Unknown Form," Working Papers 2022-03, University of Sydney, School of Economics.
  24. Jozef Baruník & Tobias Kley, 2019. "Quantile coherency: A general measure for dependence between cyclical economic variables," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
  25. Jinyu Zhang & Kang Gao & Yong Li & Qiaosen Zhang, 2022. "Maximum Likelihood Estimation Methods for Copula Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 99-124, June.
  26. Souhaib Ben Taieb & James W. Taylor & Rob J. Hyndman, 2017. "Coherent Probabilistic Forecasts for Hierarchical Time Series," Monash Econometrics and Business Statistics Working Papers 3/17, Monash University, Department of Econometrics and Business Statistics.
  27. Mensi, Walid & Lee, Yun-Jung & Vo, Xuan Vinh & Yoon, Seong-Min, 2021. "Quantile connectedness among gold, gold mining, silver, oil and energy sector uncertainty indexes," Resources Policy, Elsevier, vol. 74(C).
  28. Fan, Yanqin & Henry, Marc, 2023. "Vector copulas," Journal of Econometrics, Elsevier, vol. 234(1), pages 128-150.
  29. Alexander J. McNeil, 2021. "Modelling Volatile Time Series with V-Transforms and Copulas," Risks, MDPI, vol. 9(1), pages 1-26, January.
  30. Tsionas, Mike G. & Andrikopoulos, Athanasios, 2020. "On a High-Dimensional Model Representation method based on Copulas," European Journal of Operational Research, Elsevier, vol. 284(3), pages 967-979.
  31. Alexander J. McNeil, 2020. "Modelling volatile time series with v-transforms and copulas," Papers 2002.10135, arXiv.org, revised Jan 2021.
  32. Zhang, Yi & Gomes, António Topa & Beer, Michael & Neumann, Ingo & Nackenhorst, Udo & Kim, Chul-Woo, 2019. "Reliability analysis with consideration of asymmetrically dependent variables: Discussion and application to geotechnical examples," Reliability Engineering and System Safety, Elsevier, vol. 185(C), pages 261-277.
  33. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
  34. Zongwu Cai & Guannan Liu & Wei Long & Xuelong Luo, 2024. "Semiparametric Conditional Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202401, University of Kansas, Department of Economics, revised Jan 2024.
  35. Matthew A. Masten & Alexandre Poirier, 2020. "Inference on breakdown frontiers," Quantitative Economics, Econometric Society, vol. 11(1), pages 41-111, January.
  36. Antonella D’agostino & Giovanni De Luca & Dominique Guégan, 2023. "Estimating Lower Tail Dependence Between Pairs of Poverty Dimensions in Europe," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 69(2), pages 419-442, June.
  37. Zhi, Bangdong & Wang, Xiaojun & Xu, Fangming, 2020. "Impawn rate optimisation in inventory financing: A canonical vine copula-based approach," International Journal of Production Economics, Elsevier, vol. 227(C).
  38. Bladt, Martin & McNeil, Alexander J., 2022. "Time series copula models using d-vines and v-transforms," Econometrics and Statistics, Elsevier, vol. 24(C), pages 27-48.
  39. Manner, Hans & Stark, Florian & Wied, Dominik, 2019. "Testing for structural breaks in factor copula models," Journal of Econometrics, Elsevier, vol. 208(2), pages 324-345.
  40. Rewat Khanthaporn, 2022. "Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields," PIER Discussion Papers 183, Puey Ungphakorn Institute for Economic Research.
  41. Fousseni Chabi-Yo & Markus Huggenberger & Florian Weigert, 2019. "Multivariate Crash Risk," Working Papers on Finance 1901, University of St. Gallen, School of Finance.
  42. Kajal Lahiri & Liu Yang, 2023. "Predicting binary outcomes based on the pair-copula construction," Empirical Economics, Springer, vol. 64(6), pages 3089-3119, June.
  43. Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.
  44. Alexandre Repkine, 2023. "The Estimation of a Polluting By-Production Technology Using Statistical Copulas," Journal of Productivity Analysis, Springer, vol. 60(1), pages 49-62, August.
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