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Copula-based multivariate input modeling
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Copula-based multivariate input modeling (2012)Copula-based multivariate input modelingPair-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…Copula Modeling: An Introduction for Practitioners (2007)Copula Modeling: An Introduct…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Copula Methods in Finance (2004)Copula Methods in FinanceA New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…On Default Correlation (2000)On Default CorrelationA New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Simulation modeling and analysis (1999)Simulation modeling and analy…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)The Joy of Copulas: Bivariate…Simulation Modeling and Analysis. (1983)Simulation Modeling and Analy…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)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)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)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)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)Multivariate Simultaneous Generalized ARCH (1995)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Downside Risk (2006)Introductory Econometrics for Finance (2008)Testing ecological models: the meaning of validation (1996)Developing Theory Through Simulation Methods (2007)Verification and validation of simulation models (2012)Modeling Good Research Practices—Overview: A Report of the ISPOR-SMDM Modeling Good Research Practices Task Force-1 (2012)Simulation Modeling and Analysis (2016)
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References

  • 1983Simulation Modeling and Analysis.8,697 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1999Simulation modeling and analysis3,833 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2000On Default Correlation1,257 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2007Copula Modeling: An Introduction for Practitioners876 cited
  • 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals790 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited

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