Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Factor copula models for multivariate data

15 references·14 citing·36 second hop

FromToDepth

this work references cited by second hop

References

2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
2007Pair-copula constructions of multiple dependence2,055 cited
2011Quantitative Risk Management985 cited
2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
2012Selecting and estimating regular vine copulae and application to financial returns743 cited
2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
2012Quantitative Risk Management374 cited
1998Multivariate Models and Dependence Concepts352 cited
2010Dependence Modeling: Vine Copula Handbook325 cited
2008Models for construction of multivariate dependence – a comparison study291 cited
2009Tail dependence functions and vine copulas284 cited
2012Truncated regular vines in high dimensions with application to financial data279 cited
2015Modeling Dependence in High Dimensions With Factor Copulas245 cited
2010Vine copulas with asymmetric tail dependence and applications to financial return data214 cited
2009Copulas: A Personal View204 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2015High dimensional dynamic stochastic copula models116 cited
2020Advances in statistical modeling of spatial extremes99 cited
2014Structured factor copula models: Theory, inference and computation77 cited
2014High Dimensional Dynamic Stochastic Copula Models66 cited
2013Factor Copula Models for Item Response Data57 cited
2021Copulae: An overview and recent developments43 cited
2018Generalized Additive Models for Pair-Copula Constructions41 cited
2021Reliability-oriented sensitivity analysis in presence of data-driven epistemic uncertainty38 cited
2018Credit and market risks measurement in carbon financing for Chinese banks38 cited
2020Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings37 cited
2014Tail-weighted measures of dependence34 cited
2021Implicit Copulas: An Overview27 cited
2017Multivariate extreme value copulas with factor and tree dependence structures27 cited
2022On a multivariate copula-based dependence measure and its estimation26 cited