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High Dimensional Dynamic Stochastic Copula Models
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High Dimensional Dynamic Stochastic Copula Models (2014)High Dimensional Dynamic Stochastic Copul…Modeling Dependence in High Dimensions With Factor Copulas (2015)Modeling Dependence in High D…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Dynamic Equicorrelation (2012)Dynamic EquicorrelationQuantitative Risk Management (2011)Quantitative Risk ManagementA Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)A Dynamic Multivariate Heavy-…Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions (2010)Bayesian Inference for Multiv…Handbook of Financial Time Series (2009)Handbook of Financial Time Se…Copula–Based Models for Financial Time Series (2009)Copula–Based Models for Finan…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stochastic volatility with le…Regime switching for dynamic correlations (2006)Regime switching for dynamic …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Efficient Bayesian inference for Gaussian copula regression models (2006)Efficient Bayesian inference …On Default Correlation (2000)On Default CorrelationOn Default Correlation: A Copula Function Approach (1999)On Default Correlation: A Cop…Rational Decisions (1952)Rational DecisionsVector autoregression models with skewness and heavy tails (2022)Vector autoregression models …Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings (2020)Closed-Form Multi-Factor Copu…Dynamic discrete copula models for high‐frequency stock price changes (2018)Dynamic discrete copula model…A Bayesian semiparametric approach to stochastic frontiers and productivity (2018)A Bayesian semiparametric app…Time series copulas for heteroskedastic data (2017)Time series copulas for heter…MGARCH models: Trade-off between feasibility and flexibility (2017)MGARCH models: Trade-off betw…Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (2016)Modeling high‐dimensional tim…Modeling Financial Sector Joint Tail Risk in the Euro Area (2016)Modeling Financial Sector Joi…Bond Risk Premia in Consumption-based Models (2016)Bond Risk Premia in Consumpti…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A review of copula models for economic time series (2012)Copula Methods for Forecasting Multivariate Time Series (2013)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)SRISK: A conditional capital shortfall measure of systemic risk (2017)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Financial Modelling with Jump Processes (2003)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Common Drifting Volatility in Large Bayesian VARs (2015)Measuring Uncertainty and Its Impact on the Economy (2017)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Selecting and estimating regular vine copulae and application to financial returns (2012)Statistical Modeling of Spatial Extremes (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Financialization, crisis and commodity correlation dynamics (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Risk: Modeling, Valuation and Hedging (2004)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014 (2015)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Elicitation of Personal Probabilities and Expectations (1971)Bayesian Analysis of DSGE Models (2007)Probabilistic Forecasts, Calibration and Sharpness (2007)Evaluating Volatility and Correlation Forecasts (2009)Quantiles as optimal point forecasts (2010)
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References

  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2000On Default Correlation1,257 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
  • 2011Quantitative Risk Management985 cited
  • 1952Rational Decisions975 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2006Stochastic volatility with leverage: Fast and efficient likelihood inference464 cited
  • 2012Dynamic Equicorrelation456 cited
  • 2006Regime switching for dynamic correlations414 cited
  • 2009Handbook of Financial Time Series383 cited
  • 2009Copula–Based Models for Financial Time Series381 cited
  • 1999On Default Correlation: A Copula Function Approach299 cited
  • 2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations293 cited
  • 2006Efficient Bayesian inference for Gaussian copula regression models256 cited
  • 2015Modeling Dependence in High Dimensions With Factor Copulas245 cited
  • 2010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions201 cited

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Cited by

  • 2017MGARCH models: Trade-off between feasibility and flexibility48 cited
  • 2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models45 cited
  • 2018Dynamic discrete copula models for high‐frequency stock price changes44 cited
  • 2016Modeling Financial Sector Joint Tail Risk in the Euro Area41 cited
  • 2018A Bayesian semiparametric approach to stochastic frontiers and productivity41 cited
  • 2020Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings37 cited
  • 2017Time series copulas for heteroskedastic data34 cited
  • 2016Bond Risk Premia in Consumption-based Models28 cited
  • 2022Vector autoregression models with skewness and heavy tails27 cited