IDEAS home Printed from https://ideas.repec.org/r/eee/econom/v135y2006i1-2p125-154.html
   My bibliography  Save this item

Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Lee, Tae-Hwy & Yang, Weiping, 2014. "Granger-causality in quantiles between financial markets: Using copula approach," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 70-78.
  2. Okhrin, Ostap & Ristig, Alexander, 2014. "Hierarchical Archimedean Copulae: The HAC Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i04).
  3. Lee, Tae-Hwy & Long, Xiangdong, 2009. "Copula-based multivariate GARCH model with uncorrelated dependent errors," Journal of Econometrics, Elsevier, vol. 150(2), pages 207-218, June.
  4. Jinan Liu & Apostolos Serletis, 2023. "Volatility and dependence in energy markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 15-37, March.
  5. Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019. "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers 2019-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  6. Cathy Ning & Loran Chollete, 2012. "Asymmetric Dependence between Aggregate Consumption and Financial Risk," Working Papers 046, Ryerson University, Department of Economics.
  7. Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020. "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers 2242R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2020.
  8. Palandri, Alessandro, 2009. "Sequential conditional correlations: Inference and evaluation," Journal of Econometrics, Elsevier, vol. 153(2), pages 122-132, December.
  9. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
  10. Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 552-580.
  11. David Zimmer, 2015. "Asymmetric dependence in house prices: evidence from USA and international data," Empirical Economics, Springer, vol. 49(1), pages 161-183, August.
  12. Nguyen, Hoang & Javed, Farrukh, 2021. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers 2021:15, Örebro University, School of Business.
  13. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-78, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  14. Michael S. Smith & Shaun P. Vahey, 2016. "Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 416-434, July.
  15. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
  16. Ariel M. Viale & David A. Bessler & James W. Kolari, 2014. "On the Structure of Financial Contagion: Econometric Tests and Mercosur Evidence," Journal of Applied Economics, Taylor & Francis Journals, vol. 17(2), pages 373-400, November.
  17. Liang Peng & Yongcheng Qi & Ingrid Van Keilegom, 2012. "Jackknife empirical likelihood method for copulas," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(1), pages 74-92, March.
  18. Osama Ahmed & Teresa Serra, 2015. "Economic analysis of the introduction of agricultural revenue insurance contracts in Spain using statistical copulas," Agricultural Economics, International Association of Agricultural Economists, vol. 46(1), pages 69-79, January.
  19. Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  20. Anthony N. Rezitis & Andreas Rokopanos, 2019. "Impact of trade liberalisation on dairy market price co‐movements between the EU, Oceania, and the United States," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(3), pages 472-498, July.
  21. Vêlayoudom Marimoutou & Manel Soury, 2015. "Energy Markets and CO2 Emissions: Analysis by Stochastic Copula Autoregressive Model," AMSE Working Papers 1520, Aix-Marseille School of Economics, France.
  22. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Estimating non-linear serial and cross-interdependence between financial assets," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 837-846.
  23. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy, & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  24. Christian M. Hafner & Hans Manner, 2012. "Dynamic stochastic copula models: estimation, inference and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(2), pages 269-295, March.
  25. Reboredo, Juan C., 2012. "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 419-440.
  26. Nguyen, Hoang & Javed, Farrukh, 2023. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
  27. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers 25/12, Institute for Fiscal Studies.
  28. Beare, Brendan K. & Seo, Juwon, 2020. "Randomization Tests Of Copula Symmetry," Econometric Theory, Cambridge University Press, vol. 36(6), pages 1025-1063, December.
  29. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 649-677.
  30. Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle, 2007. "Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models," Monash Econometrics and Business Statistics Working Papers 8/07, Monash University, Department of Econometrics and Business Statistics.
  31. Bingduo Yang & Christian M. Hafner & Guannan Liu & Wei Long, 2021. "Semiparametric estimation and variable selection for single‐index copula models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 962-988, November.
  32. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1596-1609, September.
  33. David Zimmer, 2015. "Time-Varying Correlation in Housing Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 51(1), pages 86-100, July.
  34. Zhang, Kong-Sheng & Lin, Jin-Guan & Xu, Pei-Rong, 2016. "A new class of copulas involving geometric distribution: Estimation and applications," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 1-10.
  35. Nguyen, Hoang & Ausín, M. Concepción & Galeano, Pedro, 2020. "Variational inference for high dimensional structured factor copulas," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
  36. Huang, Hongming & Kao, Chihwa & Urga, Giovanni, 2008. "Copula-based tests for cross-sectional independence in panel models," Economics Letters, Elsevier, vol. 100(2), pages 224-228, August.
  37. Cho, Jin Seo & White, Halbert, 2011. "Generalized runs tests for the IID hypothesis," Journal of Econometrics, Elsevier, vol. 162(2), pages 326-344, June.
  38. Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2017. "Reserve modelling and the aggregation of risks using time varying copula models," Economic Modelling, Elsevier, vol. 67(C), pages 149-158.
  39. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," SIRE Discussion Papers 2015-78, Scottish Institute for Research in Economics (SIRE).
  40. Sukjin Han & Sungwon Lee, 2019. "Estimation in a generalization of bivariate probit models with dummy endogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 994-1015, September.
  41. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
  42. Noureddine Kouaissah & Sergio Ortobelli Lozza & Ikram Jebabli, 2022. "Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 833-859, October.
  43. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2014. "Clustering of financial time series in risky scenarios," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(4), pages 359-376, December.
  44. Cathy Q. Ning & Loran Chollete, 2009. "The Dependence Structure of Macroeconomic Variables in the US," Working Papers 005, Ryerson University, Department of Economics.
  45. Fan, Yanqin & Liu, Ruixuan, 2018. "Partial identification and inference in censored quantile regression," Journal of Econometrics, Elsevier, vol. 206(1), pages 1-38.
  46. Giacomini, Enzo & Härdle, Wolfgang & Spokoiny, Vladimir, 2009. "Inhomogeneous Dependence Modeling with Time-Varying Copulae," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 224-234.
  47. Christoffersen, Peter & Langlois, Hugues, 2013. "The Joint Dynamics of Equity Market Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(5), pages 1371-1404, October.
  48. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
  49. Eling, Martin & Jung, Kwangmin, 2018. "Copula approaches for modeling cross-sectional dependence of data breach losses," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 167-180.
  50. Allen, David & Lizieri, Colin & Satchell, Stephen, 2020. "A comparison of non-Gaussian VaR estimation and portfolio construction techniques," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 356-368.
  51. Wanling Huang & Artem Prokhorov, 2014. "A Goodness-of-fit Test for Copulas," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 751-771, October.
  52. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
  53. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
  54. 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.
  55. Chang‐Che Wu & MeiChi Huang & Chih‐Chiang Wu, 2021. "The role of asymmetry and dynamics in carry trade and general financial markets," The Financial Review, Eastern Finance Association, vol. 56(2), pages 331-353, May.
  56. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger.
  57. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2019. "Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves," Working papers 2019rwp-153, Yonsei University, Yonsei Economics Research Institute.
  58. Chen, Xiaohong & Huang, Zhuo & Yi, Yanping, 2021. "Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models," Journal of Econometrics, Elsevier, vol. 222(1), pages 484-501.
  59. Hans Manner & Bertrand Candelon, 2010. "Testing For Asset Market Linkages: A New Approach Based On Time‐Varying Copulas," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 364-384, August.
  60. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2009. "Time Variation in Asset Return Dependence: Strength or Structure?," ERIM Report Series Research in Management ERS-2009-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  61. Bruno Rémillard, 2017. "Goodness-of-Fit Tests for Copulas of Multivariate Time Series," Econometrics, MDPI, vol. 5(1), pages 1-23, March.
  62. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers 2015_15, Business School - Economics, University of Glasgow.
  63. Alessia Benevento & Fabrizio Durante, 2023. "Wasserstein Dissimilarity for Copula-Based Clustering of Time Series with Spatial Information," Mathematics, MDPI, vol. 12(1), pages 1-15, December.
  64. Avdulaj, Krenar & Barunik, Jozef, 2015. "Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data," Energy Economics, Elsevier, vol. 51(C), pages 31-44.
  65. Katja Ignatieva & Eckhard Platen & Renata Rendek, 2010. "Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index," Research Paper Series 284, Quantitative Finance Research Centre, University of Technology, Sydney.
  66. Chen, Xiaohong & Fan, Yanqin & Pouzo, Demian & Ying, Zhiliang, 2010. "Estimation and model selection of semiparametric multivariate survival functions under general censorship," Journal of Econometrics, Elsevier, vol. 157(1), pages 129-142, July.
  67. Fengler, Matthias & Okhrin, Ostap, 2012. "Realized Copula," Economics Working Paper Series 1214, University of St. Gallen, School of Economics and Political Science.
  68. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.
  69. Hernández-Lobato, José Miguel & Suárez, Alberto, 2011. "Semiparametric bivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2038-2058, June.
  70. Chen, Jian & Peng, Liang & Zhao, Yichuan, 2009. "Empirical likelihood based confidence intervals for copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 137-151, January.
  71. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2011. "Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 275-287, October.
  72. Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik, 2009. "Pair-copula constructions of multiple dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 182-198, April.
  73. Xiaohong Chen & Zhuo Huang & Yanping Yi, 2019. "Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models," Cowles Foundation Discussion Papers 2215, Cowles Foundation for Research in Economics, Yale University.
  74. Matthias Pelster & Johannes Vilsmeier, 2018. "The determinants of CDS spreads: evidence from the model space," Review of Derivatives Research, Springer, vol. 21(1), pages 63-118, April.
  75. Fantazzini, Dean, 2010. "Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2562-2579, November.
  76. Gregor Weiß, 2013. "Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 179-202, August.
  77. Weiß, Gregor N.F., 2011. "Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 173-188, May.
  78. Samitas, Aristeidis & Tsakalos, Ioannis, 2013. "How can a small country affect the European economy? The Greek contagion phenomenon," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 18-32.
  79. Zhao, Zifeng & Zhang, Zhengjun & Chen, Rong, 2018. "Modeling maxima with autoregressive conditional Fréchet model," Journal of Econometrics, Elsevier, vol. 207(2), pages 325-351.
  80. Jean-David Fermanian, 2017. "Recent Developments in Copula Models," Econometrics, MDPI, vol. 5(3), pages 1-3, July.
  81. Chollete, Loran & Ning, Cathy, 2012. "Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve," UiS Working Papers in Economics and Finance 2012/1, University of Stavanger.
  82. Ostap Okhrin, 2010. "Fitting high-dimensional Copulae to Data," SFB 649 Discussion Papers SFB649DP2010-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  83. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
  84. Florian Stark & Sven Otto, 2020. "Testing and Dating Structural Changes in Copula-based Dependence Measures," Papers 2011.05036, arXiv.org.
  85. Manner, H., 2007. "Estimation and model selection of copulas with an application to exchange rates," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  86. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Copula based Dynamic Hedging Strategy with Futures," Economics Bulletin, AccessEcon, vol. 32(4), pages 3394-3400.
  87. Antoine Bergeron & Pierre Dutilleul & Carole Beaulieu & Taoufik Bouezmarni, 2022. "Dynamic Copulas for Monotonic Dependence Change in Time Series," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 683-693, November.
  88. Spanhel, Fabian & Kurz, Malte S., 2016. "The partial copula: Properties and associated dependence measures," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 76-83.
  89. Wu, Ximing, 2010. "Exponential Series Estimator of multivariate densities," Journal of Econometrics, Elsevier, vol. 156(2), pages 354-366, June.
  90. Bücher, Axel & Ruppert, Martin, 2013. "Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 208-229.
  91. Yichen Gao & Yu Zhang & Ximing Wu, 2015. "Penalized exponential series estimation of copula densities with an application to intergenerational dependence of body mass index," Empirical Economics, Springer, vol. 48(1), pages 61-81, February.
  92. Mario Cerrato & Danyang Li & Zhekai Zhang, 2020. "Factor Investing and forex Portfolio Management," Working Papers 2020_01, Business School - Economics, University of Glasgow.
  93. Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012. "Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach," Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3711-3751.
  94. Nagler, Thomas & Krüger, Daniel & Min, Aleksey, 2022. "Stationary vine copula models for multivariate time series," Journal of Econometrics, Elsevier, vol. 227(2), pages 305-324.
  95. Mendoza-Velázquez, Alfonso & Galvanovskis, Evalds, 2009. "Introducing the GED-Copula with an application to Financial Contagion in Latin America," MPRA Paper 46669, University Library of Munich, Germany, revised 01 Feb 2010.
  96. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  97. Awondo, Sebastain N. & Shurley, Don W., 2017. "On the Efficiency of Pseudo Risk Pools and Proxy Yield Data on Crop Insurance and Reinsurance in U.S," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258566, Agricultural and Applied Economics Association.
  98. Fan, Yanqin & Henry, Marc, 2023. "Vector copulas," Journal of Econometrics, Elsevier, vol. 234(1), pages 128-150.
  99. Dong Hwan Oh & Andrew J. Patton, 2017. "Modeling Dependence in High Dimensions With Factor Copulas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 139-154, January.
  100. Gong Jinguo & Shi Daimin & Wu Weiou & McMillan David, 2015. "Non-parametric estimation of copula parameters: testing for time-varying correlation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 93-106, February.
  101. Lourme, Alexandre & Maurer, Frantz, 2017. "Testing the Gaussian and Student's t copulas in a risk management framework," Economic Modelling, Elsevier, vol. 67(C), pages 203-214.
  102. repec:kan:wpaper:202105 is not listed on IDEAS
  103. Reboredo, Juan C., 2011. "How do crude oil prices co-move?: A copula approach," Energy Economics, Elsevier, vol. 33(5), pages 948-955, September.
  104. Reboredo, Juan C., 2012. "Do food and oil prices co-move?," Energy Policy, Elsevier, vol. 49(C), pages 456-467.
  105. Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
  106. 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.
  107. Nikolaus Hautsch & Julia Schuamburg & Melanie Schienle, 2012. "Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series," SFB 649 Discussion Papers SFB649DP2012-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  108. Li, Deyuan & Peng, Liang, 2009. "Goodness-of-fit test for tail copulas modeled by elliptical copulas," Statistics & Probability Letters, Elsevier, vol. 79(8), pages 1097-1104, April.
  109. Zhang, Ran & Czado, Claudia & Min, Aleksey, 2011. "Efficient maximum likelihood estimation of copula based meta t-distributions," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1196-1214, March.
  110. Chen, Xiangjin B. & Silvapulle, Param & Silvapulle, Mervyn, 2014. "A semiparametric approach to value-at-risk, expected shortfall and optimum asset allocation in stock–bond portfolios," Economic Modelling, Elsevier, vol. 42(C), pages 230-242.
  111. Pedro Antonio Martín Cervantes & Salvador Cruz Rambaud & María del Carmen Valls Martínez, 2020. "An Application of the SRA Copulas Approach to Price-Volume Research," Mathematics, MDPI, vol. 8(11), pages 1-28, October.
  112. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2011. "International diversification: A copula approach," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 403-417, February.
  113. Jin Xisong & Lehnert Thorsten, 2018. "Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 19-46, February.
  114. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  115. Ng, Wing Lon, 2008. "Modeling duration clusters with dynamic copulas," Finance Research Letters, Elsevier, vol. 5(2), pages 96-103, June.
  116. Min, Aleksey & Czado, Claudia, 2014. "SCOMDY models based on pair-copula constructions with application to exchange rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 523-535.
  117. 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.
  118. Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Zeitun, Rami & Rehman, Mobeen Ur, 2017. "Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach," Emerging Markets Review, Elsevier, vol. 32(C), pages 130-147.
  119. Costanza Naguib & Patrick Gagliardini, 2023. "A Semi-nonparametric Copula Model for Earnings Mobility," Diskussionsschriften dp2302, Universitaet Bern, Departement Volkswirtschaft.
  120. 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.
  121. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, vol. 173(2), pages 189-204.
  122. Zhuang, Haoxin & Diao, Liqun & Yi, Grace Y., 2022. "A Bayesian nonparametric mixture model for grouping dependence structures and selecting copula functions," Econometrics and Statistics, Elsevier, vol. 22(C), pages 172-189.
  123. Romera, Rosario & Molanes, Elisa M., 2008. "Copulas in finance and insurance," DES - Working Papers. Statistics and Econometrics. WS ws086321, Universidad Carlos III de Madrid. Departamento de Estadística.
  124. Emura, Takeshi & Lai, Ching-Chieh & Sun, Li-Hsien, 2023. "Change point estimation under a copula-based Markov chain model for binomial time series," Econometrics and Statistics, Elsevier, vol. 28(C), pages 120-137.
  125. Chen, Xiaohong & Xiao, Zhijie & Wang, Bo, 2022. "Copula-based time series with filtered nonstationarity," Journal of Econometrics, Elsevier, vol. 228(1), pages 127-155.
  126. Reboredo, Juan C., 2013. "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, vol. 36(C), pages 471-480.
  127. Jinan Liu & Apostolos Serletis, 2022. "World Commodity Prices and Economic Activity in Advanced and Emerging Economies," Open Economies Review, Springer, vol. 33(2), pages 347-374, April.
  128. Xu Chen & Surya T. Tokdar, 2021. "Joint quantile regression for spatial data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 83(4), pages 826-852, September.
  129. Marek Omelka & Šárka Hudecová & Natalie Neumeyer, 2021. "Maximum pseudo‐likelihood estimation based on estimated residuals in copula semiparametric models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1433-1473, December.
  130. Toan Luu Duc Huynh, 2019. "Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas," JRFM, MDPI, vol. 12(2), pages 1-19, April.
  131. Härdle Wolfgang Karl & Okhrin Ostap & Okhrin Yarema, 2013. "Dynamic structured copula models," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 361-388, December.
  132. Li, Danyang & Zhang, Zhekai & Cerrato, Mario, 2023. "Factor investing and currency portfolio management," International Review of Financial Analysis, Elsevier, vol. 87(C).
  133. Thijs Markwat, 2014. "The rise of global stock market crash probabilities," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 557-571, April.
  134. Lei Hou & Wei Long & Qi Li, 2019. "Comovement of Home Prices: A Conditional Copula Approach," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 297-318, May.
  135. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. III," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 24(4), pages 100-130.
  136. Lu, Xiaohui & Zheng, Xu, 2020. "A goodness-of-fit test for copulas based on martingale transformation," Journal of Econometrics, Elsevier, vol. 215(1), pages 84-117.
  137. Reboredo, Juan C., 2013. "Is gold a hedge or safe haven against oil price movements?," Resources Policy, Elsevier, vol. 38(2), pages 130-137.
  138. Kajal Lahiri & Liu Yang, 2023. "Predicting binary outcomes based on the pair-copula construction," Empirical Economics, Springer, vol. 64(6), pages 3089-3119, June.
  139. Juan Lin & Ximing Wu, 2015. "Smooth Tests of Copula Specifications," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 128-143, January.
  140. Shegorika Rajwani & Dilip Kumar, 2019. "Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach," Global Business Review, International Management Institute, vol. 20(4), pages 962-980, August.
  141. Liu, Tuo & Lee, Lung-fei, 2019. "A likelihood ratio test for spatial model selection," Journal of Econometrics, Elsevier, vol. 213(2), pages 434-458.
  142. Martin Eling & Denis Toplek, 2009. "Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 651-681, September.
  143. Rémillard, Bruno & Papageorgiou, Nicolas & Soustra, Frédéric, 2012. "Copula-based semiparametric models for multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 30-42.
  144. Wing Lon Ng, 2006. "Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose," SFB 649 Discussion Papers SFB649DP2006-086, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  145. Neumeyer, Natalie & Omelka, Marek & Hudecová, Šárka, 2019. "A copula approach for dependence modeling in multivariate nonparametric time series," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 139-162.
  146. Begin, Étienne & Dutilleul, Pierre & Beaulieu, Carole & Bouezmarni, Taoufik, 2020. "M-Vine decomposition and VAR(1) models," Statistics & Probability Letters, Elsevier, vol. 158(C).
  147. Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank.
  148. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
  149. Rezitis, Anthony N. & Rokopanos, Andreas & Tsionas, Mike G., 2021. "Investigating dynamic price co-movements in the international milk market using copulas: The role of trade agreements," Economic Modelling, Elsevier, vol. 95(C), pages 215-227.
  150. Czado, Claudia & Ivanov, Eugen & Okhrin, Yarema, 2019. "Modelling temporal dependence of realized variances with vines," Econometrics and Statistics, Elsevier, vol. 12(C), pages 198-216.
  151. Vêlayoudom Marimoutou & Manel Soury, 2015. "Energy Markets and CO2 Emissions: Analysis by Stochastic Copula Autoregressive Model," Working Papers halshs-01148746, HAL.
  152. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.
  153. Okyoung Na & Jiyeon Lee & Sangyeol Lee, 2013. "Change point detection in SCOMDY models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 215-238, July.
  154. Acar, Elif F. & Czado, Claudia & Lysy, Martin, 2019. "Flexible dynamic vine copula models for multivariate time series data," Econometrics and Statistics, Elsevier, vol. 12(C), pages 181-197.
  155. Bodnar, Olha & Bodnar, Taras & Gupta, Arjun K., 2010. "Estimation and inference for dependence in multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 869-881, April.
  156. Wang, Kehluh & Chen, Yi-Hsuan & Huang, Szu-Wei, 2011. "The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 654-664, October.
  157. Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
  158. Chollete, Loran & Ismailescu, Iuliana & Lu, Ching-Chih, 2014. "Dependence between Extreme Events in the Real and Financial Sectors," UiS Working Papers in Economics and Finance 2014/12, University of Stavanger.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.