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Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses
16 references·3 citing·33 second hop
Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses (2015)Comorbidity of chronic diseases in the el…Simplified pair copula constructions—Limitations and extensions (2013)Simplified pair copula constr…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…Pair Copula Constructions for Multivariate Discrete Data (2012)Pair Copula Constructions for…Gaussian copula marginal regression (2012)Gaussian copula marginal regr…Modeling Multivariate Distributions Using Copulas: Applications in Marketing (2010)Modeling Multivariate Distrib…Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence (2010)Modeling Longitudinal Data Us…Tail dependence functions and vine copulas (2009)Tail dependence functions and…Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Strictly Proper Scoring Rules…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Extending the rank likelihood for semiparametric copula estimation (2007)Extending the rank likelihood…A Primer on Copulas for Count Data (2007)A Primer on Copulas for Count…A Primer on Copulas for Count Data (2007)A Primer on Copulas for Count…On rank correlation measures for non-continuous random variables (2006)On rank correlation measures …Efficient Bayesian inference for Gaussian copula regression models (2006)Efficient Bayesian inference …An Introduction to Copulas (Springer Series in Statistics) (2006)An Introduction to Copulas (S…An Introduction to Copulas (1999)An Introduction to CopulasExamination and visualisation of the simplifying assumption for vine copulas in three dimensions (2017)Examination and visualisation…Model selection for discrete regular vine copulas (2016)Model selection for discrete …Copula in a multivariate mixed discrete–continuous model (2016)Copula in a multivariate mixe…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Maximum Likelihood Estimation of the Polychoric Correlation Coefficient (1979)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Searching for innovation: Product, process, and business model innovations and search behavior in established firms (2018)Which estimation method to choose in network psychometrics? Deriving guidelines for applied researchers. (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions (2010)Elicitation of Personal Probabilities and Expectations (1971)Comparing Predictive Accuracy (1994)Probabilistic Forecasts, Calibration and Sharpness (2007)Making and Evaluating Point Forecasts (2011)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Extreme Correlation of International Equity Markets (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Truncated regular vines in high dimensions with application to financial data (2012)The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)Extreme Values, Regular Variation and Point Processes (1987)On the simplified pair-copula construction — Simply useful or too simplistic? (2009)Vine copulas with asymmetric tail dependence and applications to financial return data (2010)The Dual Theory of Choice under Risk (1987)Copulas: A Personal View (2009)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)The Advent of Copulas in Finance (2009)Copula Theory: An Introduction (2010)Extreme-Value Copulas (2010)A review of quantification methodologies for multi-hazard interrelationships (2019)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2006An Introduction to Copulas (Springer Series in Statistics)882 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2007A Primer on Copulas for Count Data339 cited
  • 2007A Primer on Copulas for Count Data305 cited
  • 2007Extending the rank likelihood for semiparametric copula estimation300 cited
  • 2009Tail dependence functions and vine copulas284 cited
  • 2006Efficient Bayesian inference for Gaussian copula regression models256 cited
  • 2012Pair Copula Constructions for Multivariate Discrete Data194 cited
  • 2012Gaussian copula marginal regression182 cited
  • 2010Modeling Multivariate Distributions Using Copulas: Applications in Marketing172 cited
  • 2010Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence172 cited
  • 2013Simplified pair copula constructions—Limitations and extensions151 cited
  • 2006

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On rank correlation measures for non-continuous random variables
145 cited

Cited by

  • 2017Examination and visualisation of the simplifying assumption for vine copulas in three dimensions39 cited
  • 2016Model selection for discrete regular vine copulas39 cited
  • 2016Copula in a multivariate mixed discrete–continuous model31 cited