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Copula-Based Dependence Characteriztions and Modeling for Time Series
16 references·1 citing·39 second hop
Copula-Based Dependence Characteriztions and Modeling for Time Series (2005)Copula-Based Dependence Characteriztions …Statistical Analysis of Extreme Values (2007)Statistical Analysis of Extre…Estimation of copula-based semiparametric time series models (2005)Estimation of copula-based se…Weak convergence of empirical copula processes (2004)Weak convergence of empirical…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Correlation and Dependence (2001)Correlation and DependenceCorrelation and Dependence (2001)Correlation and DependenceAn Introduction to Copulas (1999)An Introduction to CopulasPitfalls in Tests for Changes in Correlations (1997)Pitfalls in Tests for Changes…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Testing the covariance statio…Copulas and Markov processes (1992)Copulas and Markov processesOn Nonparametric Measures of Dependence for Random Variables (1981)On Nonparametric Measures of …Copula–Based Models for Financial Time Series (2009)Copula–Based Models for Finan…Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Conditional value-at-risk for general loss distributions (2002)The Econometrics of Financial Markets (2012)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)Pair-copula constructions of multiple dependence (2007)Tails of multivariate Archimedean copulas (2009)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)From value at risk to stress testing: The extreme value approach (2000)An Introduction to Statistical Modeling of Extreme Values (2001)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Ordinal Measures of Association (1958)Random variables, joint distribution functions, and copulas (1973)MEASURES OF DEPENDENCE DERIVED FROM COPULAS. (1977)Understanding Relationships Using Copulas (1998)The Behavior of Stock-Market Prices (1965)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Heterogeneous Agent Models in Economics and Finance (2005)Copula Modeling: An Introduction for Practitioners (2007)Conditional Time Series Forecasting with Convolutional Neural Networks (2017)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Asset pricing with liquidity risk (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Multivariate GARCH models: a survey (2006)Introductory Econometrics for Finance (2008)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Lower bounds on sample size in structural equation modeling (2010)
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References

  • 1999An Introduction to Copulas7,812 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,658 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
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  • 1981On Nonparametric Measures of Dependence for Random Variables601 cited
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  • 2007Statistical Analysis of Extreme Values539 cited
  • 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
  • 2005Estimation of copula-based semiparametric time series models435 cited
  • 2004Weak convergence of empirical copula processes396 cited
  • 1997Pitfalls in Tests for Changes in Correlations381 cited
  • 1992Copulas and Markov processes338 cited

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  • 2001Correlation and Dependence322 cited
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    • 2009Copula–Based Models for Financial Time Series381 cited