Estimation of Copula Models for Time Series of Possibly Different Length
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Citations
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Cited by:
- Andrew Patton, 2002. "(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation," FMG Discussion Papers dp431, Financial Markets Group.
- Y. Malevergne & D. Sornette, 2003.
"Testing the Gaussian copula hypothesis for financial assets dependences,"
Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.
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- Yannick Malevergne & Didier Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependence," Post-Print hal-02312888, HAL.
- Yannick Malevergne & Didier Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Post-Print hal-00520539, HAL.
- Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Finance 0111003, University Library of Munich, Germany.
- Jean-David FERMANIAN & Olivier SCAILLET, 2003.
"Nonparametric Estimation of Copulas for Time Series,"
FAME Research Paper Series
rp57, International Center for Financial Asset Management and Engineering.
- Fermanian, Jean-David & Scaillet, Olivier, 2003. "Nonparametric estimation of copulas for time series," Working Papers unige:41797, University of Geneva, Geneva School of Economics and Management.
- Sulin Pang & Jinwang Xiao & Shuqing Li, 2015. "Pricing method and applications for the farmer's joint liability based on intensity model and Monte Carlo simulation," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-21.
- Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006.
"Common factors in conditional distributions for bivariate time series,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May.
- Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group.
- Granger, Clive W. J. & Terasvirta, Timo & Patton, Andrew J., 2003. "Common factors in conditional distributions for Bivariate time series," LSE Research Online Documents on Economics 24854, London School of Economics and Political Science, LSE Library.
- Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002.
"Common factors in conditional distributions,"
SSE/EFI Working Paper Series in Economics and Finance
515, Stockholm School of Economics.
- Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J, 2002. "Common Factors in Conditional Distributions," University of California at San Diego, Economics Working Paper Series qt3bd1n1x5, Department of Economics, UC San Diego.
- Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
- Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Center for Research in Economics and Statistics.
- Morettin Pedro A. & Toloi Clelia M.C. & Chiann Chang & de Miranda José C.S., 2011. "Wavelet Estimation of Copulas for Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(3), pages 1-31, October.
- Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004.
- Xiaohui Chen & Lin Zhang & Ze Zhang, 2020. "An integrated model for maintenance policies and production scheduling based on immune–culture algorithm," Journal of Risk and Reliability, , vol. 234(5), pages 651-663, October.
- Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
- Alqahtani, Abdullah & Klein, Tony & Khalid, Ali, 2019. "The impact of oil price uncertainty on GCC stock markets," Resources Policy, Elsevier, vol. 64(C).
- Rémy Chicheportiche & Jean-Philippe Bouchaud, 2012. "The Joint Distribution Of Stock Returns Is Not Elliptical," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-23.
- Y. Malevergne & D. Sornette, 2002. "Investigating Extreme Dependences: Concepts and Tools," Papers cond-mat/0203166, arXiv.org.
- repec:mth:ijafr8:v:9:y:2019:i:1:p:414-431 is not listed on IDEAS
- Y. Malevergne & D. Sornette, 2002. "Tail Dependence of Factor Models," Papers cond-mat/0202356, arXiv.org.
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Keywords
copulas; maximum likelihood; two-stage estimation; exchange rates; missing data;All these keywords.
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