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Vine Copula Specifications for Stationary Multivariate Markov Chains
16 references·4 citing·31 second hop
Vine Copula Specifications for Stationary Multivariate Markov Chains (2014)Vine Copula Specifications for Stationary…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Copula Methods for Forecasting Multivariate Time Series (2013)Copula Methods for Forecastin…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…A review of copula models for economic time series (2012)A review of copula models for…Pair-Copula Constructions of Multivariate Copulas (2010)Pair-Copula Constructions of …Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…Copula–Based Models for Financial Time Series (2009)Copula–Based Models for Finan…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Uncertainty Analysis with High Dimensional Dependence Modelling (2006)Uncertainty Analysis with Hig…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Estimation of copula-based semiparametric time series models (2005)Estimation of copula-based se…Copula Methods in Finance (2004)Copula Methods in FinanceFamilies of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Families of $m$-variate distr…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Stationary vine copula models for multivariate time series (2022)Stationary vine copula models…Implicit Copulas: An Overview (2021)Implicit Copulas: An OverviewCopulae: An overview and recent developments (2021)Copulae: An overview and rece…Time series copulas for heteroskedastic data (2017)Time series copulas for heter…Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)Chapter 4 Forecast Combinations (2006)Carbon Tail Risk (2018)Empirical Asset Pricing via Machine Learning (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)An Introduction to Copulas (1999)Extreme Correlation of International Equity Markets (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Truncated regular vines in high dimensions with application to financial data (2012)The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)Causal Ordering and Identifiability (1977)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site (2009)Testing for Granger non-causality in heterogeneous panels (2012)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Statistical Modeling of Spatial Extremes (2012)Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Understanding Relationships Using Copulas (1998)Oil and the Macroeconomy since World War II (1983)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
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  • 2013Handbook of Economic Forecasting1,216 cited
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  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
  • 2012A review of copula models for economic time series587 cited
  • 2005Estimation of copula-based semiparametric time series models435 cited
  • 2009Copula–Based Models for Financial Time Series381 cited
  • 2013Copula Methods for Forecasting Multivariate Time Series323 cited

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  • 2010Pair-Copula Constructions of Multivariate Copulas263 cited
  • Cited by

    • 2021Copulae: An overview and recent developments43 cited
    • 2022Stationary vine copula models for multivariate time series41 cited
    • 2017Time series copulas for heteroskedastic data34 cited
    • 2021Implicit Copulas: An Overview27 cited