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ArticleConditional copulas, association measures and their applications

Irène Gijbels2010

Article2010

Conditional copulas, association measures and their applications

Irène Gijbels · Noël Veraverbeke · Marek Omelka

113 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Statistical Methods and Inference

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References

1999An Introduction to Copulas 2006Comparison of semiparametric and parametric methods for estimating copulas 2009Improved kernel estimation of copulas: Weak convergence and goodness-of-fit testing 1942PARTIAL RANK CORRELATION

Cited by

2011Estimation of a Conditional Copula and Association Measures 2017Bivariate copula additive models for location, scale and shape 2015Simultaneous inference in structured additive conditional copula regression models: a unifying Bayesian approach 2012Semiparametric estimation of conditional copulas 2015Generalized additive models for conditional dependence structures 2012In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes 2013Statistical testing of covariate effects in conditional copula models 2017About tests of the “simplifying” assumption for conditional copulas

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2011Estimation of a Conditional Copula and Association Measuresarticle · 3 shared references 2012Semiparametric estimation of conditional copulasarticle · 3 shared references 2007A Primer on Copulas for Count Dataarticle · 2 shared references 2009Copulas: A Personal Viewarticle · 2 shared references 2010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructionsarticle · 2 shared references 2009A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theoremsarticle · 2 shared references

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Year2010

Typearticle

Published2010-12-01

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations113

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2010.11.010

openalex_workW2017158416

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