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Citations for "Efficient Estimation of Semiparametric Multivariate Copula Models"

by Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov

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  1. Taoufik Bouezmarni & Jeroen V. K. Rombouts & Abderrahim Taamouti, 2008. "Asymptotic properties of the Bernstein density copula for dependent data," Economics Working Papers we083619, Universidad Carlos III, Departamento de Economía.
  2. Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
  3. 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.
  4. Beatriz Vaz de Melo Mendes & Cecília Aíube, 2011. "Copula based models for serial dependence," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(1), pages 68-82, February.
  5. Lorraine Dearden & Emla Fitzsimons & Alissa Goodman & Greg Kaplan, 2007. "Higher education funding reforms in England: the distributional effects and the shifting balance of costs," IFS Working Papers W07/18, Institute for Fiscal Studies.
  6. Wu, Ximing, 2010. "Exponential Series Estimator of multivariate densities," Journal of Econometrics, Elsevier, vol. 156(2), pages 354-366, June.
  7. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers 2008-23, School of Economics, The University of New South Wales.
  8. Chu, Yu-Ming & Xia, Wei-Feng & Zhang, Xiao-Hui, 2012. "The Schur concavity, Schur multiplicative and harmonic convexities of the second dual form of the Hamy symmetric function with applications," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 412-421.
  9. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011. "A practical asymptotic variance estimator for two-step semiparametric estimators," CeMMAP working papers CWP22/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  10. Artem Prokhorov & Peter Schmidt, 2009. "Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas," Working Papers 09002, Concordia University, Department of Economics.
  11. Chiburis, Richard C., 2010. "Semiparametric bounds on treatment effects," Journal of Econometrics, Elsevier, vol. 159(2), pages 267-275, December.
  12. Xiaohong Chen & Yanqin Fan & Demian Pouzo & Zhiliang Ying, 2008. "Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship," Cowles Foundation Discussion Papers 1683, Cowles Foundation for Research in Economics, Yale University.
  13. Xiaohong Chen & Wei Biao Wu & Yanping Yi, 2009. "Efficient estimation of copula-based semiparametric Markov models," CeMMAP working papers CWP06/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  14. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2007. "Semiparametric Multivariate Density Estimation for Positive Data Using Copulas," Cahiers de recherche 07-08, HEC Montréal, Institut d'économie appliquée.
  15. Lawless, Jerald F. & Yilmaz, Yildiz E., 2011. "Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2446-2455, July.
  16. 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.
  17. Kojadinovic, Ivan & Yan, Jun, 2010. "Comparison of three semiparametric methods for estimating dependence parameters in copula models," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 52-63, August.
  18. da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2013. "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics Discussion Papers 2013-52, Kiel Institute for the World Economy.
  19. Schwiebert, Jörg, 2012. "Analyzing the Composition of the Female Workforce - A Semiparametric Copula Approach," Hannover Economic Papers (HEP) dp-503, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  20. Lorraine Dearden & Emla Fitzsimons & Alissa Goodman & Greg Kaplan, 2008. "The effects of higher education funding reforms on the lifetime incomes of graduates," CEE Discussion Papers 0078, Centre for the Economics of Education, LSE.
  21. 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.
  22. Einmahl, J.H.J. & Akker, R. van den, 2010. "Superefficient Estimation of the Marginals by Exploiting Knowledge on the Copula," Discussion Paper 2010-120, Tilburg University, Center for Economic Research.
  23. 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.
  24. Jeffrey S. Racine, 2013. "Mixed Data Kernel Copulas," Working Paper Series 46_13, The Rimini Centre for Economic Analysis.
  25. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, School of Economics and Management, University of Aarhus.
  26. 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.
  27. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Penev, Spiridon I., 2008. "GeD spline estimation of multivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3570-3582, March.
  28. Braekers, Roel & Van Keilegom, Ingrid, 2009. "Flexible modeling based on copulas in nonparametric median regression," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1270-1281, July.
  29. Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
  30. 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.
  31. Cheng, Guang & Zhou, Lan & Chen, Xiaohong & Huang, Jianhua Z., 2014. "Efficient estimation of semiparametric copula models for bivariate survival data," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 330-344.
  32. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011. "Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," Cowles Foundation Discussion Papers 1803, Cowles Foundation for Research in Economics, Yale University.
  33. Manner, Hans, 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).
  34. Ostap Okhrin, 2010. "Fitting high-dimensional Copulae to Data," SFB 649 Discussion Papers SFB649DP2010-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  35. Segers, J.J.J. & Akker, R. van den & Werker, B.J.M., 2008. "Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known," Discussion Paper 2008-40, Tilburg University, Center for Economic Research.
  36. Xiaohong Chen & Wei Biao Wu & Yanping Yi, 2009. "Efficient Estimation of Copula-based Semiparametric Markov Models," Cowles Foundation Discussion Papers 1691, Cowles Foundation for Research in Economics, Yale University, revised Mar 2009.