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ANALYZING COMOVEMENTS IN HOUSING PRICES USING VINE COPULAS
16 references·0 citing·35 second hop
ANALYZING COMOVEMENTS IN HOUSING PRICES USING VINE COPULAS (2014)ANALYZING COMOVEMENTS IN HOUSING PRICES U…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…Pair-Copula Constructions of Multivariate Copulas (2010)Pair-Copula Constructions of …Tail dependence functions and vine copulas (2009)Tail dependence functions and…The Black Swan: The Impact of the Highly Improbable (2008)The Black Swan: The Impact of…Understanding Recent Trends in House Prices and Home Ownership (2007)Understanding Recent Trends i…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Copula Modeling: An Introduction for Practitioners (2007)Copula Modeling: An Introduct…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…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…On Default Correlation (2000)On Default CorrelationFamilies of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Families of $m$-variate distr…Maxima of normal random vectors: Between independence and complete dependence (1989)Maxima of normal random vecto…The Efficiency of the Market for Single-Family Homes (1988)The Efficiency of the Market …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Testing Against General Autor…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)The Econometrics of Financial Markets (2012)Rational herding in financial economics (1996)Is There a Bubble in the Housing Market? (2003)Distance and Private Information in Lending (2010)Short- Term Interest Rates as Predictors of Inflation (2021)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Discrete Choice Methods with Simulation (2001)Empirical properties of asset returns: stylized facts and statistical issues (2001)A copula-based approach to accommodate residential self-selection effects in travel behavior modeling (2009)The Effects of Traditional and Social Earned Media on Sales: A Study of a Microlending Marketplace (2011)Where is the land of Opportunity? The Geography of Intergenerational Mobility in the United States * (2014)Multivariate Simultaneous Generalized ARCH (1995)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Risk: Modeling, Valuation and Hedging (2004)Quantitative Risk Management (2011)Lessons from 60 years of pharmaceutical innovation (2009)Predictive Analytics in Information Systems Research1 (2011)Why do humans reason? Arguments for an argumentative theory (2011)Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables (1978)Review of international tourism demand models (1997)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2008The Black Swan: The Impact of the Highly Improbable2,425 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1988The Efficiency of the Market for Single-Family Homes1,828 cited
  • 1978Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables1,468 cited
  • 2000On Default Correlation1,257 cited
  • 2007Copula Modeling: An Introduction for Practitioners876 cited
  • 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters777 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2007Understanding Recent Trends in House Prices and Home Ownership502 cited
  • 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification402 cited
  • 2009Tail dependence functions and vine copulas284 cited
  • 2010Pair-Copula Constructions of Multivariate Copulas

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263 cited
  • 1989Maxima of normal random vectors: Between independence and complete dependence255 cited
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