Factor copula models for multivariate data
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jmva.2013.05.001
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
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.
- Joe, Harry & Li, Haijun & Nikoloulopoulos, Aristidis K., 2010. "Tail dependence functions and vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 252-270, January.
- Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
- Dißmann, J. & Brechmann, E.C. & Czado, C. & Kurowicka, D., 2013. "Selecting and estimating regular vine copulae and application to financial returns," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 52-69.
- Kjersti Aas & Daniel Berg, 2009. "Models for construction of multivariate dependence - a comparison study," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 639-659.
- Nikoloulopoulos, Aristidis K. & Joe, Harry & Li, Haijun, 2012. "Vine copulas with asymmetric tail dependence and applications to financial return data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3659-3673.
- Claudia Klüppelberg & Gabriel Kuhn, 2009. "Copula structure analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 737-753, June.
- Paul Embrechts, 2009. "Copulas: A Personal View," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 639-650, September.
- Andrew J. Patton, 2006. "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, May.
- Hua, Lei & Joe, Harry, 2011. "Tail order and intermediate tail dependence of multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1454-1471, November.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
- Krupskii, Pavel & Joe, Harry, 2015. "Structured factor copula models: Theory, inference and computation," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 53-73.
- Pavel Krupskii, 2017. "Copula-based measures of reflection and permutation asymmetry and statistical tests," Statistical Papers, Springer, vol. 58(4), pages 1165-1187, December.
- Weiß, Gregor N.F. & Scheffer, Marcus, 2015. "Mixture pair-copula-constructions," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 175-191.
- Grundke, Peter & Polle, Simone, 2012. "Crisis and risk dependencies," European Journal of Operational Research, Elsevier, vol. 223(2), pages 518-528.
- Pavel Krupskii & Harry Joe, 2015. "Tail-weighted measures of dependence," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 614-629, March.
- Siburg, Karl Friedrich & Stoimenov, Pavel & Weiß, Gregor N.F., 2015. "Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 129-140.
- Han, Xuyuan & Liu, Zhenya & Wang, Shixuan, 2022. "An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting," Journal of Commodity Markets, Elsevier, vol. 25(C).
- Yuri Salazar Flores & Adán Díaz-Hernández, 2021. "Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 375-407, June.
- 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.
- Simon Fritzsch & Maike Timphus & Gregor Weiss, 2021. "Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?," Papers 2109.10946, arXiv.org.
- Brechmann Eike Christain & Czado Claudia, 2013. "Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 307-342, December.
- Anubha Goel & Aparna Mehra, 2019. "Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 921-950, March.
- Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.
- Reboredo, Juan C. & Ugolini, Andrea, 2018. "The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach," Energy Economics, Elsevier, vol. 76(C), pages 136-152.
- Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016.
"Default probability estimation via pair copula constructions,"
European Journal of Operational Research, Elsevier, vol. 249(1), pages 298-311.
- Luciana Dalla Valle & Maria Elena De Giuli & Claudio Manelli & Claudia Tarantola, 2013. "Default Probability Estimation via Pair Copula Constructions," DEM Working Papers Series 048, University of Pavia, Department of Economics and Management.
- Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli, 2014. "Default Probability Estimation via Pair Copula Constructions," Papers 1405.1309, arXiv.org, revised Aug 2015.
- Hofert, Marius & Prasad, Avinash & Zhu, Mu, 2022. "Multivariate time-series modeling with generative neural networks," Econometrics and Statistics, Elsevier, vol. 23(C), pages 147-164.
- 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.
- Hua, Lei & Joe, Harry, 2014. "Strength of tail dependence based on conditional tail expectation," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 143-159.
- Prayer M. Rikhotso & Beatrice D. Simo-Kengne, 2022. "Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries," JRFM, MDPI, vol. 15(3), pages 1-22, February.
More about this item
Keywords
Conditional independence; Factor analysis; Pair-copula construction; Partial correlation; Tail dependence; Tail asymmetry; Truncated vine;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:120:y:2013:i:c:p:85-101. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.