Copulas in Econometrics
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- repec:eee:econom:v:208:y:2019:i:2:p:324-345 is not listed on IDEAS
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- Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, "undated". "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute.
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- 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.
- 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," MPRA Paper 75989, University Library of Munich, Germany.
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- Diego Caballero & André Lucas & Bernd Schwaab & Xin Zhang, 2019.
"Risk endogeneity at the lender/investor-of-last-resort,"
BIS Working Papers
766, Bank for International Settlements.
- Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2019. "Risk endogeneity at the lender/investor-of-last-resort," Working Paper Series 2225, European Central Bank.
- Jozef Barun'ik & Tobias Kley, 2015. "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers 1510.06946, arXiv.org, revised Dec 2018.
- Martyna Kobus & Radoslaw Kurek, 2017. "Copula-based measurement of interdependence for discrete distributions," Working Papers 431, ECINEQ, Society for the Study of Economic Inequality.
- 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.
More about this item
KeywordsSklar’s theorem; multivariate models; Fréchet-Hoeffding inequality; bounds;
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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