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Nonparametric Estimation of Copulas for Time Series
16 references·3 citing·39 second hop
Nonparametric Estimation of Copulas for Time Series (2003)Nonparametric Estimation of Copulas for T…Fame, Georgie, (born 26 June 1943), musician, vocalist, songwriter (2007)Fame, Georgie, (born 26 June …Weak convergence of empirical copula processes (2004)Weak convergence of empirical…Nonparametric Tests for Positive Quadrant Dependence (2004)Nonparametric Tests for Posit…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Modelling dependent defaults (2001)Modelling dependent defaultsSensitivity analysis of Values at Risk (2000)Sensitivity analysis of Value…European Financial Markets After EMU: A First Assessment (2000)European Financial Markets Af…Prospect Theory and Asset Prices (1999)Prospect Theory and Asset Pri…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (1999)Dynamic Consumption and Portf…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles (1998)Propriétés statistiques des c…A nonparametric estimation procedure for bivariate extreme value copulas (1997)A nonparametric estimation pr…Measures of Dependence and Tests of Independence (1996)Measures of Dependence and Te…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…THE HARVARD BUSINESS SCHOOL (1908)THE HARVARD BUSINESS SCHOOLBayes theorem–based and copula-based estimation for failure probability function (2020)Bayes theorem–based and copul…Some Statistical Pitfalls in Copula Modeling for Financial Applications (2004)Some Statistical Pitfalls in …Nonparametric Pricing of Multivariate Contingent Claims (2003)Nonparametric Pricing of Mult…Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Extreme Values, Regular Variation and Point Processes (1987)Bivariate Extreme Value Theory: Models and Estimation (1988)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula (2001)Extreme-Value Copulas (2010)Statistics of Extremes (2015)“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998 (1998)Bivariate Distributions with Given Extreme Value Attractor (2000)Bivariate option pricing using dynamic copula models (2005)Introduction to Stochastic Processes (2014)Portfolio Selection (1952)Safety First and the Holding of Assets (1952)Coherent allocation of risk capital (2001)Expected shortfall and beyond (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Measures of risk (2004)Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation (2008)Modelling Dependence with Copulas and Applications to Risk Management (2003)Goodness-of-fit tests for copulas: A review and a power study (2007)Non‐parametric Estimation of Tail Dependence (2005)Semiparametric estimation in copula models (2005)Copula Methods for Forecasting Multivariate Time Series (2013)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Estimation of affine asset pricing models using the empirical characteristic function (2001)A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 2000Sensitivity analysis of Values at Risk400 cited
  • 2004Weak convergence of empirical copula processes396 cited
  • 1999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets363 cited
  • 1997A nonparametric estimation procedure for bivariate extreme value copulas292 cited
  • 1998Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles144 cited
  • 2001Modelling dependent defaults122 cited
  • 2000European Financial Markets After EMU: A First Assessment108 cited
  • 1996Measures of Dependence and Tests of Independence96 cited
  • 1999Prospect Theory and Asset Prices83 cited
  • 2004Nonparametric Tests for Positive Quadrant Dependence78 cited
  • 1908THE HARVARD BUSINESS SCHOOL59 cited
  • 2007Fame, Georgie, (born 26 June 1943), musician, vocalist, songwriter

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Cited by

  • 2004Some Statistical Pitfalls in Copula Modeling for Financial Applications52 cited
  • 2003Nonparametric Pricing of Multivariate Contingent Claims39 cited
  • 2020Bayes theorem–based and copula-based estimation for failure probability function15 cited