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ArticleFactor copula models for multivariate data

Pavel Krupskii2013

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Articlebronze2013

Factor copula models for multivariate data

Pavel Krupskii · Harry Joe

185 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Bayesian Modeling and Causal Inference

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References

2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2007Pair-copula constructions of multiple dependence 2011Quantitative Risk Management 2006The Copula-GARCH model of conditional dependencies: An international stock market application 2012Selecting and estimating regular vine copulae and application to financial returns 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation 2012Quantitative Risk Management 1998Multivariate Models and Dependence Concepts

Cited by

2015High dimensional dynamic stochastic copula models 2020Advances in statistical modeling of spatial extremes 2014Structured factor copula models: Theory, inference and computation 2014High Dimensional Dynamic Stochastic Copula Models 2013Factor Copula Models for Item Response Data 2021Copulae: An overview and recent developments

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Year2013

Typearticle

Published2013-05-27

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations185

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2013.05.001

openalex_workW1996388751

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2018

Generalized Additive Models for Pair-Copula Constructions

2021Reliability-oriented sensitivity analysis in presence of data-driven epistemic uncertainty