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Measures of tail asymmetry for bivariate copulas
12 references·2 citing·40 second hop
Measures of tail asymmetry for bivariate copulas (2012)Measures of tail asymmetry for bivariate …Tail order and intermediate tail dependence of multivariate copulas (2011)Tail order and intermediate t…Vine copulas with asymmetric tail dependence and applications to financial return data (2010)Vine copulas with asymmetric …Dependence Modeling: Vine Copula Handbook (2010)Dependence Modeling: Vine Cop…Measures of non-exchangeability for bivariate random vectors (2008)Measures of non-exchangeabili…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Extremes of nonexchangeability (2007)Extremes of nonexchangeabilityExtremes of nonexchangeability (2007)Extremes of nonexchangeabilityHow non-symmetric can a copula be? (2006)How non-symmetric can a copul…Weak convergence of empirical copula processes (2004)Weak convergence of empirical…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Factor Copula Models for Replicated Spatial Data (2016)Factor Copula Models for Repl…Copula-based measures of reflection and permutation asymmetry and statistical tests (2016)Copula-based measures of refl…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)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Non‐parametric Estimation of Tail Dependence (2005)Semiparametric estimation in copula models (2005)Copula Methods for Forecasting Multivariate Time Series (2013)Evaluating Interval Forecasts (1998)Factor copula models for multivariate data (2013)Measuring systemic risk in the European banking sector: a copula CoVaR approach (2017)The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Extreme Values, Regular Variation and Point Processes (1987)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Second order regular variation and conditional tail expectation of multiple risks (2011)Advances in statistical modeling of spatial extremes (2020)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)On Nonparametric Measures of Dependence for Random Variables (1981)Construction of non-exchangeable bivariate distribution functions (2007)COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS (2007)Rectangular Patchwork for Bivariate Copulas and Tail Dependence (2009)Truncated regular vines in high dimensions with application to financial data (2012)A review of quantification methodologies for multi-hazard interrelationships (2019)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)Bayesian modeling of air pollution extremes using nested multivariate max-stable processes (2019)Extremal dependence of random scale constructions (2019)Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes (2019)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2004Weak convergence of empirical copula processes396 cited
  • 2010Dependence Modeling: Vine Copula Handbook325 cited
  • 2010Vine copulas with asymmetric tail dependence and applications to financial return data214 cited
  • 2011Tail order and intermediate tail dependence of multivariate copulas139 cited
  • 2007Extremes of nonexchangeability76 cited
  • 2007Extremes of nonexchangeability71 cited
  • 2006How non-symmetric can a copula be?54 cited
  • 2008Measures of non-exchangeability for bivariate random vectors44 cited

Cited by

  • 2016Factor Copula Models for Replicated Spatial Data83 cited
  • 2016Copula-based measures of reflection and permutation asymmetry and statistical tests19 cited

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