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Fully Nested 3-Copula: Procedure and Application on Hydrological Data
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Fully Nested 3-Copula: Procedure and Application on Hydrological Data (2007)Fully Nested 3-Copula: Procedure and Appl…Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)Goodness‐of‐fit Procedures fo…Bayesian copula selection (2005)Bayesian copula selectionSampling from Archimedean copulas (2004)Sampling from Archimedean cop…Goodness-of-fit tests for copulas (2004)Goodness-of-fit tests for cop…Copula Methods in Finance (2004)Copula Methods in FinanceModelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Handbook of Heavy Tailed Distributions in Finance (2003)Handbook of Heavy Tailed Dist…Dependence structures for multivariate high-frequency data in finance (2003)Dependence structures for mul…Dependence Structures for Multivariate High-Frequency Data in Finance (2002)Dependence Structures for Mul…Fitting bivariate loss distributions with copulas (1999)Fitting bivariate loss distri…An Introduction to Copulas (1999)An Introduction to CopulasA Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…Modelling Extreme Multivariate Events (1991)Modelling Extreme Multivariat…Modelling Multivariate Extreme Value Distributions (1990)Modelling Multivariate Extrem…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)The Asymptotic Theory of Extreme Order Statistics (1990)From value at risk to stress testing: The extreme value approach (2000)How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)Understanding Relationships Using Copulas (1998)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Comparison of semiparametric and parametric methods for estimating copulas (2006)Multivariate non-normally distributed random variables in climate research – introduction to the copula approach (2008)MODELING THE CHOICE OF RESIDENTIAL LOCATION (1978)Models for Exceedances Over High Thresholds (1990)Modelling Dependence within Joint Tail Regions (1997)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Copulas for Finance - A Reading Guide and Some Applications (2007)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)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)The t Copula and Related Copulas (2007)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)Copula–Based Models for Financial Time Series (2009)Modelling oil price and exchange rate co-movements (2011)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 1988Bivariate Extreme Value Theory: Models and Estimation569 cited
  • 1991Modelling Extreme Multivariate Events529 cited
  • 2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation407 cited
  • 2003Handbook of Heavy Tailed Distributions in Finance387 cited
  • 2002Dependence Structures for Multivariate High-Frequency Data in Finance381 cited
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  • 2003Dependence structures for multivariate high-frequency data in finance320 cited
  • 1990Modelling Multivariate Extreme Value Distributions249 cited
  • 2005Bayesian copula selection243 cited
  • 1999Fitting bivariate loss distributions with copulas237 cited
  • 2004

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Sampling from Archimedean copulas
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