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A Survey on Time-Varying Copulas: Specification, Simulations, and Application

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References

1999An Introduction to Copulas7,743 cited
2002Dynamic Conditional Correlation7,126 cited
1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
2004CAViaR2,210 cited
2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
2004Copula Methods in Finance2,013 cited
1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
2000On Default Correlation1,257 cited
1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
2007Measuring financial contagion: A Copula approach826 cited
2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
1994Forecasting International Equity Correlations521 cited

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2006

Estimation of multivariate models for time series of possibly different lengths

421 cited

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