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High Dimensional Dynamic Stochastic Copula Models · Study

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PreprintHigh Dimensional Dynamic Stochastic Copula Models

Drew Creal2014

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Preprintgreen2014

High Dimensional Dynamic Stochastic Copula Models

Drew Creal · Ruey S. Tsay

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

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

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References

2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2000On Default Correlation 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 2011Quantitative Risk Management 1952Rational Decisions 2007The t Copula and Related Copulas 2006Stochastic volatility with leverage: Fast and efficient likelihood inference 2012Dynamic Equicorrelation

Cited by

2017MGARCH models: Trade-off between feasibility and flexibility 2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models 2018Dynamic discrete copula models for high‐frequency stock price changes 2018A Bayesian semiparametric approach to stochastic frontiers and productivity 2016Modeling Financial Sector Joint Tail Risk in the Euro Area 2020Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings 2017

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2015High dimensional dynamic stochastic copula modelsarticle · 16 shared references 2020Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadingsarticle · 10 shared references 2012Financial Risk Measurement for Financial Risk Managementreport · 9 shared references 2013Financial Risk Measurement for Financial Risk Managementchapter · 8 shared references 2021Implicit Copulas: An Overviewarticle · 8 shared references 2018Switching generalized autoregressive score copula models with application to systemic riskarticle · 7 shared references

Details

Year2014

Typepreprint

Published2014-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations66

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2470724

openalex_workW1990721708

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