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Simulated Method of Moments Estimation for Copula-Based Multivariate Models

Citations

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Cited by:

  1. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
  2. Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020. "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers 2242R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2020.
  3. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
  4. Nevrla, Matěj, 2020. "Systemic risk in European financial and energy sectors: Dynamic factor copula approach," Economic Systems, Elsevier, vol. 44(4).
  5. Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov, 2012. "Reconstructing high dimensional dynamic distributions from distributions of lower dimension," Working Papers 12003, Concordia University, Department of Economics.
  6. Ackerer Damien & Vatter Thibault, 2017. "Dependent defaults and losses with factor copula models," Dependence Modeling, De Gruyter, vol. 5(1), pages 375-399, December.
  7. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.
  8. Benjamin V. Rosa, 2019. "Resident Bid Preference, Affiliation, and Procurement Competition: Evidence from New Mexico," Journal of Industrial Economics, Wiley Blackwell, vol. 67(2), pages 161-208, June.
  9. Pavel Krupskii & Harry Joe, 2022. "Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models," Statistical Papers, Springer, vol. 63(2), pages 543-569, April.
  10. Bruno Rémillard, 2017. "Goodness-of-Fit Tests for Copulas of Multivariate Time Series," Econometrics, MDPI, vol. 5(1), pages 1-23, March.
  11. Anatolyev, Stanislav & Khabibullin, Renat & Prokhorov, Artem, 2014. "An algorithm for constructing high dimensional distributions from distributions of lower dimension," Economics Letters, Elsevier, vol. 123(3), pages 257-261.
  12. Anatolyev, Stanislav & Pyrlik, Vladimir, 2022. "Copula shrinkage and portfolio allocation in ultra-high dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  13. Carsten Bormann & Melanie Schienle, 2020. "Detecting Structural Differences in Tail Dependence of Financial Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 380-392, April.
  14. Mayer, Alexander & Wied, Dominik, 2023. "Estimation and inference in factor copula models with exogenous covariates," Journal of Econometrics, Elsevier, vol. 235(2), pages 1500-1521.
  15. Manner, Hans & Stark, Florian & Wied, Dominik, 2019. "Testing for structural breaks in factor copula models," Journal of Econometrics, Elsevier, vol. 208(2), pages 324-345.
  16. Florian Stark & Sven Otto, 2020. "Testing and Dating Structural Changes in Copula-based Dependence Measures," Papers 2011.05036, arXiv.org.
  17. Frazier, David T. & Oka, Tatsushi & Zhu, Dan, 2019. "Indirect inference with a non-smooth criterion function," Journal of Econometrics, Elsevier, vol. 212(2), pages 623-645.
  18. Juwon Seo, 2018. "Randomization Tests for Equality in Dependence Structure," Papers 1811.02105, arXiv.org.
  19. Verhoijsen Alex & Krupskiy Pavel, 2022. "Fast inference methods for high-dimensional factor copulas," Dependence Modeling, De Gruyter, vol. 10(1), pages 270-289, January.
  20. Stanislav Anatolyev & Vladimir Pyrlik, 2021. "Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions," CERGE-EI Working Papers wp699, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  21. Dong Hwan Oh & Andrew J. Patton, 2017. "Modeling Dependence in High Dimensions With Factor Copulas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 139-154, January.
  22. Damien Ackerer & Thibault Vatter, 2016. "Dependent Defaults and Losses with Factor Copula Models," Papers 1610.03050, arXiv.org, revised Jan 2018.
  23. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31, Puey Ungphakorn Institute for Economic Research.
  24. Smith, Michael Stanley & Maneesoonthorn, Worapree, 2018. "Inversion copulas from nonlinear state space models with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 34(3), pages 389-407.
  25. Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn, 2023. "Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns," Papers 2308.05564, arXiv.org, revised Mar 2024.
  26. Chen, Xiaohong & Xiao, Zhijie & Wang, Bo, 2022. "Copula-based time series with filtered nonstationarity," Journal of Econometrics, Elsevier, vol. 228(1), pages 127-155.
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