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Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates

Citations

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Cited by:

  1. Carluccio Bianchi & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi, 2009. "Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study," Quaderni di Dipartimento 093, University of Pavia, Department of Economics and Quantitative Methods.
  2. Heinen, Andreas & Rengifo, Erick, 2007. "Multivariate autoregressive modeling of time series count data using copulas," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 564-583, September.
  3. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
  4. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
  5. Dominique Guegan & Pierre-André Maugis, 2010. "An Econometric Study of Vine Copulas," Documents de travail du Centre d'Economie de la Sorbonne 10040, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  6. Dominique Guegan & Pierre-André Maugis, 2010. "New Prospects on Vines," Post-Print halshs-00348884, HAL.
  7. Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi, 2010. "A copula-VAR-X approach for industrial production modelling and forecasting," Applied Economics, Taylor & Francis Journals, vol. 42(25), pages 3267-3277.
  8. Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
  9. Li, Lihui & Wen, Tao, 2013. "Estimation of C-MGARCH models based on the MBP method," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 665-673.
  10. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
  11. 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.
  12. Wolfgang Härdle & Ostap Okhrin, 2010. "De copulis non est disputandum," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(1), pages 1-31, March.
  13. Dominique Guegan & Pierre-André Maugis, 2010. "An Econometric Study of Vine Copulas," Post-Print halshs-00492124, HAL.
  14. Pierre-André Maugis & Dominique Guegan, 2010. "Note on new prospects on vines," Post-Print halshs-00471362, HAL.
  15. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173, March.
  16. Dominique Guegan & Pierre-André Maugis, 2011. "An econometric Study for Vine Copulas," Post-Print halshs-00645799, HAL.
  17. Matthias Fischer & Christian Kock & Stephan Schluter & Florian Weigert, 2009. "An empirical analysis of multivariate copula models," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 839-854.
  18. Panchenko, Valentyn, 2005. "Goodness-of-fit test for copulas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 176-182.
  19. Daniel Berg, 2009. "Copula goodness-of-fit testing: an overview and power comparison," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 675-701.
  20. 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.
  21. Gonzalo, J. & Olmo, J., 2007. "The impact of heavy tails and comovements in downside-risk diversification," Working Papers 07/02, Department of Economics, City University London.
  22. 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.
  23. Pierre-André Maugis & Dominique Guegan, 2010. "Note on new prospects on vines," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00471362, HAL.
  24. Pierre-André Maugis & Dominique Guegan, 2010. "Note on new prospects on vines," PSE-Ecole d'économie de Paris (Postprint) halshs-00471362, HAL.
  25. Matthias Fischer & Christian Köck, 2007. "Multivariate Copula Models at Work: Dependence Structure of Energie Prices," Energy and Environmental Modeling 2007 24000014, EcoMod.
  26. Roch, Oriol & Alegre, Antonio, 2006. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1312-1329, November.
  27. Xiangdong Long & Liangjun Su & Aman Ullah, 2011. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 109-125, January.
  28. Söderberg, Jonas, 2008. "Test of the Gaussian Copula on the Swedish Stock Market," CAFO Working Papers 2009:9, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
  29. Fischer, Matthias J. & Köck, Christian & Schlüter, Stephan & Weigert, Florian, 2007. "Multivariate Copula Models at Work: Outperforming the desert island copula?," Discussion Papers 79/2007, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  30. Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
  31. Mitchell, James, 2013. "The Recalibrated and Copula Opinion Pools," EMF Research Papers 02, Economic Modelling and Forecasting Group.
  32. 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.
  33. Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
  34. Luciana Dalla Valle, 2009. "Bayesian Copulae Distributions, with Application to Operational Risk Management," Methodology and Computing in Applied Probability, Springer, vol. 11(1), pages 95-115, March.
  35. Mark Trede & Cornelia Savu, 2013. "Do stock returns have an Archimedean copula?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(8), pages 1764-1778, August.
  36. Nikoloulopoulos, Aristidis K. & Karlis, Dimitris, 2008. "Copula model evaluation based on parametric bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3342-3353, March.
  37. Oriol Roch Casellas & Antonio Alegre Escolano, 2005. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Working Papers in Economics 143, Universitat de Barcelona. Espai de Recerca en Economia.
  38. Dominique Guegan & Pierre-André Maugis, 2011. "An econometric Study for Vine Copulas," PSE-Ecole d'économie de Paris (Postprint) halshs-00645799, HAL.
  39. Ostap Okhrin, 2010. "Fitting high-dimensional Copulae to Data," SFB 649 Discussion Papers SFB649DP2010-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  40. Fantazzini, Dean, 2009. "The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2168-2188, April.
  41. Grundke, Peter & Polle, Simone, 2012. "Crisis and risk dependencies," European Journal of Operational Research, Elsevier, vol. 223(2), pages 518-528.
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