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Statistical testing of covariate effects in conditional copula models
11 references·4 citing·38 second hop
Statistical testing of covariate effects in conditional copula models (2013)Statistical testing of covariate effects …Semiparametric estimation of conditional copulas (2012)Semiparametric estimation of …In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes (2012)In mixed company: Bayesian in…Estimation of a Conditional Copula and Association Measures (2011)Estimation of a Conditional C…Dependence Calibration in Conditional Copulas: A Nonparametric Approach (2010)Dependence Calibration in Con…Conditional copulas, association measures and their applications (2010)Conditional copulas, associat…The Euro and European financial market dependence (2007)The Euro and European financi…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…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…Test of independence and randomness based on the empirical copula process (2004)Test of independence and rand…Asymptotic efficiency of the two-stage estimation method for copula-based models (2004)Asymptotic efficiency of the …Implicit Copulas: An Overview (2021)Implicit Copulas: An OverviewModel robust inference with two-stage maximum likelihood estimation for copulas (2019)Model robust inference with t…Mixed binary‐continuous copula regression models with application to adverse birth outcomes (2018)Mixed binary‐continuous copul…Single-index copulas (2017)Single-index copulasAn Introduction to Copulas (1999)Improved kernel estimation of copulas: Weak convergence and goodness-of-fit testing (2009)About tests of the “simplifying” assumption for conditional copulas (2017)Copula Methods in Finance (2004)Time-dependent copulas (2012)Hierarchical Archimedean Copulae: The HAC Package (2014)Simultaneous inference in structured additive conditional copula regression models: a unifying Bayesian approach (2015)Maximum Likelihood Estimation of the Polychoric Correlation Coefficient (1979)A General Structural Equation Model with Dichotomous, Ordered Categorical, and Continuous Latent Variable Indicators (1984)A Primer on Copulas for Count Data (2007)A review of copula models for economic time series (2012)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate and functional covariates and conditional copulas (2012)An Overview of the Goodness-of-Fit Test Problem for Copulas (2013)Comparison of semiparametric and parametric methods for estimating copulas (2006)Bivariate copula additive models for location, scale and shape (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)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)Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Correlation and Dependence (2001)Multivariate extensions of Spearman's rho and related statistics (2006)On the least squares estimation of multiple-regime threshold autoregressive models (2011)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The dark side of global integration: Increasing tail dependence (2009)Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets (2011)Volatility spillovers across global asset classes: Evidence from time and frequency domains (2018)
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References

  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
  • 2004Asymptotic efficiency of the two-stage estimation method for copula-based models602 cited
  • 2004Test of independence and randomness based on the empirical copula process272 cited
  • 2007The Euro and European financial market dependence233 cited
  • 2010Conditional copulas, association measures and their applications113 cited
  • 2010Dependence Calibration in Conditional Copulas: A Nonparametric Approach103 cited
  • 2011Estimation of a Conditional Copula and Association Measures98 cited
  • 2012Semiparametric estimation of conditional copulas67 cited
  • 2012In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes49 cited

Cited by

  • 2019Model robust inference with two-stage maximum likelihood estimation for copulas37 cited
  • 2018Mixed binary‐continuous copula regression models with application to adverse birth outcomes33 cited
  • 2021Implicit Copulas: An Overview27 cited
  • 2017

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Single-index copulas
25 cited