Partial correlation with copula modeling
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References listed on IDEAS
- 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.
- Yan, Jun, 2007. "Enjoy the Joy of Copulas: With a Package copula," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 21(i04).
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
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- Changqing Luo & Mengzhen Li & Zisheng Ouyang, 2016. "An Empirical Study on the Correlation Structure of Credit Spreads based on the Dynamic and Pair Copula Functions," China Finance Review International, Emerald Group Publishing, vol. 6(3), pages 284-303, August.
- Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
- Gijbels, Irène & Veraverbeke, Noël & Omelka, Marel, 2011. "Conditional copulas, association measures and their applications," Computational Statistics & Data Analysis, Elsevier, vol. 55(5), pages 1919-1932, May.
- So, Mike K.P. & Yeung, Cherry Y.T., 2014. "Vine-copula GARCH model with dynamic conditional dependence," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 655-671.
More about this item
KeywordsPartial correlation Gaussian copula Gene network;
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