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Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy
16 references·6 citing·36 second hop
Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy (2012)Copula-GARCH versus dynamic conditional c…Quantitative Risk Management (2011)Quantitative Risk ManagementPair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)Goodness‐of‐fit Procedures fo…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)Estimation and model selectio…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Backtesting Value-at-Risk: A Duration-Based Approach (2004)Backtesting Value-at-Risk: A …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…On Default Correlation (2000)On Default CorrelationAn Introduction to Copulas (1999)An Introduction to CopulasEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsStatistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies (2019)A multivariate approach for t…Diversification benefits of Shari'ah compliant equity ETFs in emerging markets (2018)Diversification benefits of S…Tail dependence and information flow: Evidence from international equity markets (2017)Tail dependence and informati…Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios (2016)Multivariate dependence and p…Mixture pair-copula-constructions (2015)Mixture pair-copula-construct…Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates (2015)Forecasting portfolio-Value-a…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)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)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)Copula Methods in Finance (2004)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)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)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Volatility forecast comparison using imperfect volatility proxies (2010)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1998Evaluating Interval Forecasts2,689 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
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
  • 2000On Default Correlation1,257 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 2011Quantitative Risk Management985 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
  • 2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation407 cited
  • 2004Backtesting Value-at-Risk: A Duration-Based Approach403 cited
  • 2005

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Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
402 cited

Cited by

  • 2016Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios56 cited
  • 2015Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates42 cited
  • 2017Tail dependence and information flow: Evidence from international equity markets35 cited
  • 2015Mixture pair-copula-constructions33 cited
  • 2019A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies29 cited
  • 2018Diversification benefits of Shari'ah compliant equity ETFs in emerging markets22 cited