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Semiparametric estimation of conditional copulas
14 references·7 citing·31 second hop
Semiparametric estimation of conditional copulas (2012)Semiparametric estimation of conditional …Beyond simplified pair-copula constructions (2012)Beyond simplified pair-copula…Estimation of a Conditional Copula and Association Measures (2011)Estimation of a Conditional C…Efficient estimation of a semiparametric dynamic copula model (2010)Efficient estimation of a sem…Dependence Calibration in Conditional Copulas: A Nonparametric Approach (2010)Dependence Calibration in Con…Conditional copulas, association measures and their applications (2010)Conditional copulas, associat…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Improved kernel estimation of copulas: Weak convergence and goodness-of-fit testing (2009)Improved kernel estimation of…Comparison of semiparametric and parametric methods for estimating copulas (2006)Comparison of semiparametric …Semiparametric estimation in copula models (2005)Semiparametric estimation in …An Introduction to Copulas (1999)An Introduction to CopulasA Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Estimating the density of a copula function (1990)Estimating the density of a c…Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Copules archimédiennes et fam…Single-index copulas (2017)Single-index copulasEstimating non-simplified vine copulas using penalized splines (2017)Estimating non-simplified vin…About tests of the “simplifying” assumption for conditional copulas (2017)About tests of the “simplifyi…Additive models for conditional copulas (2014)Additive models for condition…Statistical testing of covariate effects in conditional copula models (2013)Statistical testing of covari…An Overview of the Goodness-of-Fit Test Problem for Copulas (2013)An Overview of the Goodness-o…Multivariate and functional covariates and conditional copulas (2012)Multivariate and functional c…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A Primer on Copulas for Count Data (2007)Copulas: A Personal View (2009)Truncated regular vines in high dimensions with application to financial data (2012)Ordinal Measures of Association (1958)The Performance of Some Correlation Coefficients for a General Bivariate Distribution (1960)On Nonparametric Measures of Dependence for Random Variables (1981)Weak convergence of empirical copula processes (2004)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Multivariate extensions of Spearman's rho and related statistics (2006)Testing for equality between two copulas (2008)Enjoy the Joy of Copulas: With a Packagecopula (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Probit transformation for nonparametric kernel estimation of the copula density (2017)Copula Methods in Finance (2004)Construction of asymmetric multivariate copulas (2008)Models for construction of multivariate dependence – a comparison study (2008)The t Copula and Related Copulas (2007)Selection of Vine Copulas (2013)COPAR—multivariate time series modeling using the copula autoregressive model (2014)Copulas in Econometrics (2014)Introductory Econometrics for Finance (2008)The estimation of copulas : theory and practice (2007)
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References

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  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions598 cited
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  • 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données412 cited
  • 2006Comparison of semiparametric and parametric methods for estimating copulas334 cited
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  • 1990Estimating the density of a copula function141 cited
  • 2012Beyond simplified pair-copula constructions140 cited
  • 2009Improved kernel estimation of copulas: Weak convergence and goodness-of-fit testing130 cited
  • 2010Conditional copulas, association measures and their applications113 cited
  • 2010Dependence Calibration in Conditional Copulas: A Nonparametric Approach103 cited
  • 2011Estimation of a Conditional Copula and Association Measures98 cited
  • 2010Efficient estimation of a semiparametric dynamic copula model73 cited

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  • 2017

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About tests of the “simplifying” assumption for conditional copulas
45 cited
  • 2013Statistical testing of covariate effects in conditional copula models45 cited
  • 2013An Overview of the Goodness-of-Fit Test Problem for Copulas36 cited
  • 2012Multivariate and functional covariates and conditional copulas33 cited
  • 2014Additive models for conditional copulas31 cited
  • 2017Estimating non-simplified vine copulas using penalized splines25 cited
  • 2017Single-index copulas25 cited