SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
When is a Copula Constant? A Test for Changing Relationships
16 references·14 citing·43 second hop
When is a Copula Constant? A Test for Changing Relationships (2010)When is a Copula Constant? A Test for Cha…Quantitative Risk Management (2011)Quantitative Risk ManagementMeasuring financial contagion: A Copula approach (2007)Measuring financial contagion…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)Estimation and model selectio…Weak convergence of empirical copula processes (2004)Weak convergence of empirical…Systemic Risk and International Portfolio Choice (2004)Systemic Risk and Internation…Copula Methods in Finance (2004)Copula Methods in FinanceCAViaR (2004)CAViaRModelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Autoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Testing and estimating change-points in time series (1985)Testing and estimating change…Ordinal Measures of Association (1958)Ordinal Measures of Associati…The changing international network of sovereign debt and financial institutions (2018)The changing international ne…Joint tests of contagion with applications (2018)Joint tests of contagion with…Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach (2018)Dependence structure between …Are banking shocks contagious? Evidence from the eurozone (2018)Are banking shocks contagious…Identifying contagion (2017)Identifying contagionTests for serial dependence in static, non-Gaussian factor models (2015)Tests for serial dependence i…Nonparametric tests for constant tail dependence with an application to energy and finance (2015)Nonparametric tests for const…Measuring the dynamics of global business cycle connectedness (2015)Measuring the dynamics of glo…Extremal dependence tests for contagion (2015)Extremal dependence tests for…A state-dependent model for inflation forecasting (2015)A state-dependent model for i…Financial contagion and asset pricing (2014)Financial contagion and asset…Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique (2012)Consistent testing for a cons…Tracking a changing copula (2009)Tracking a changing copulaA robust version of the KPSS test based on indicators (2006)A robust version of the KPSS …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)CoVaR (2016)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Modelling Extremal Events (1997)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)Dynamic Conditional Correlation: On Properties and Estimation (2013)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
this work references cited by second hop

References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2004CAViaR2,210 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 2011Quantitative Risk Management985 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 1999Autoregressive Conditional Skewness761 cited
  • 1958Ordinal Measures of Association740 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification402 cited
  • 2004Weak convergence of empirical copula processes396 cited
  • 1985Testing and estimating change-points in time series

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

338 cited

Cited by

  • 2015Extremal dependence tests for contagion94 cited
  • 2015Measuring the dynamics of global business cycle connectedness71 cited
  • 2014Financial contagion and asset pricing56 cited
  • 2006A robust version of the KPSS test based on indicators54 cited
  • 2018Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach51 cited
  • 2012Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique43 cited
  • 2018Are banking shocks contagious? Evidence from the eurozone41 cited
  • 2015A state-dependent model for inflation forecasting39 cited
  • 2018The changing international network of sovereign debt and financial institutions37 cited
  • 2018Joint tests of contagion with applications36 cited
  • 2009Tracking a changing copula34 cited
  • 2015Nonparametric tests for constant tail dependence with an application to energy and finance33 cited
  • 2015Tests for serial dependence in static, non-Gaussian factor models31 cited
  • 2017Identifying contagion27 cited