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Copula-Based Dependence Characteriztions and Modeling for Time Series · Study

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PreprintCopula-Based Dependence Characteriztions and Modeling for Time Series

Rustam Ibragimov2005

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Preprintgreen2005

Copula-Based Dependence Characteriztions and Modeling for Time Series

Rustam Ibragimov

18 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Probability and Statistical Research Probability and Risk Models

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References

1999An Introduction to Copulas 2001Empirical properties of asset returns: stylized facts and statistical issues 2001Extreme Correlation of International Equity Markets 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2002Asymmetric correlations of equity portfolios 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2003Modelling Dependence with Copulas and Applications to Risk Management 1981On Nonparametric Measures of Dependence for Random Variables

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2009Copula–Based Models for Financial Time Series

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2006Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time serieschapter · 17 shared references 2012A review of copula models for economic time seriesarticle · 11 shared references 2005Actuarial Theory for Dependent Risks: Measures, Orders and Modelsarticle · 10 shared references 2009Copula–Based Models for Financial Time Serieschapter · 10 shared references 2004Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Ratespreprint · 10 shared references 2006Copulas: A Review and Recent Developmentsarticle · 10 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations18

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.808024

openalex_workW1568679021

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