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On the structure and estimation of hierarchical Archimedean copulas
16 references·16 citing·31 second hopsampled
On the structure and estimation of hierarchical Archimedean copulas (2012)On the structure and estimation of hierar…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)Goodness‐of‐fit Procedures fo…Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)Estimation and model selectio…On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)On the Out-of-Sample Importan…Goodness-of-fit tests for copulas (2004)Goodness-of-fit tests for cop…Asymptotic efficiency of the two-stage estimation method for copula-based models (2004)Asymptotic efficiency of the …Risk Management: Value at Risk and Beyond (2003)Risk Management: Value at Ris…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…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…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Should investors include green bonds in their portfolios? Evidence for the USA and Europe (2021)Should investors include gree…Copulae: An overview and recent developments (2021)Copulae: An overview and rece…Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (2016)Modeling high‐dimensional tim…Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas (2015)Modeling dependence structure…Asymmetry in tail dependence in equity portfolios (2015)Asymmetry in tail dependence …An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification (2015)An approach to structure dete…Modeling multivariate extreme events using self-exciting point processes (2014)Modeling multivariate extreme…Hierarchical Kendall copulas: Properties and inference (2014)Hierarchical Kendall copulas:…Hierarchical Archimedean Copulae: The HAC Package (2014)Hierarchical Archimedean Copu…Clustering of time series via non-parametric tail dependence estimation (2014)Clustering of time series via…Properties of hierarchical Archimedean copulas (2013)Properties of hierarchical Ar…Nonparametric estimation of the tree structure of a nested Archimedean copula (2013)Nonparametric estimation of t…Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity (2013)Multivariate patchwork copula…An Overview of the Goodness-of-Fit Test Problem for Copulas (2013)An Overview of the Goodness-o…Modelling dependence using skew t copulas: Bayesian inference and applications (2010)Modelling dependence using sk…Hierarchies of Archimedean copulas (2009)Hierarchies of Archimedean co…Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)The Econometrics of Financial Markets (2012)Maximum Likelihood Estimation of the Polychoric Correlation Coefficient (1979)A General Structural Equation Model with Dichotomous, Ordered Categorical, and Continuous Latent Variable Indicators (1984)Comparison of semiparametric and parametric methods for estimating copulas (2006)A Primer on Copulas for Count Data (2007)A review of copula models for economic time series (2012)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)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)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. 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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
  • 2004Asymptotic efficiency of the two-stage estimation method for copula-based models602 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions598 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions510 cited
  • 2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation407 cited
  • 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

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402 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited
  • 2004Goodness-of-fit tests for copulas336 cited
  • Cited by

    • 2021Should investors include green bonds in their portfolios? Evidence for the USA and Europe168 cited
    • 2009Hierarchies of Archimedean copulas165 cited
    • 2010Modelling dependence using skew t copulas: Bayesian inference and applications112 cited
    • 2014Hierarchical Archimedean Copulae: The HAC Package82 cited
    • 2013Properties of hierarchical Archimedean copulas64 cited
    • 2014Hierarchical Kendall copulas: Properties and inference50 cited
    • 2015Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas45 cited
    • 2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models45 cited
    • 2014Clustering of time series via non-parametric tail dependence estimation45 cited
    • 2021Copulae: An overview and recent developments43 cited
    • 2015Asymmetry in tail dependence in equity portfolios41 cited
    • 2015An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification40 cited
    • 2013Nonparametric estimation of the tree structure of a nested Archimedean copula39 cited
    • 2014Modeling multivariate extreme events using self-exciting point processes37 cited
    • 2013An Overview of the Goodness-of-Fit Test Problem for Copulas36 cited
    • 2013Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity33 cited