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Recovering copulas from limited information and an application to asset allocation
16 references·4 citing·44 second hop
Recovering copulas from limited information and an application to asset allocation (2011)Recovering copulas from limited informati…Idiosyncratic risk and the cross-section of expected stock returns (2008)Idiosyncratic risk and the cr…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)On the Out-of-Sample Importan…Asymptotic efficiency of the two-stage estimation method for copula-based models (2004)Asymptotic efficiency of the …Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…An Introduction to Copulas (1999)An Introduction to CopulasAutoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIEfficient Capital Markets: II (1991)Efficient Capital Markets: IIDividend yields and expected stock returns (1988)Dividend yields and expected …Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Pareto-Levy Law and the Distribution of Income (1960)The Pareto-Levy Law and the D…Credit and market risks measurement in carbon financing for Chinese banks (2018)Credit and market risks measu…Trading strategies with copulas (2013)Trading strategies with copul…Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings (2012)Robust evidence on the simila…Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective (2011)Can VAR models capture regime…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Common risk factors in the returns on stocks and bonds (1993)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)SRISK: A conditional capital shortfall measure of systemic risk (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)A Test for Superior Predictive Ability (2005)Large Bayesian vector auto regressions (2009)Volatility forecast comparison using imperfect volatility proxies (2010)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Expected Stock Returns and Variance Risk Premia (2009)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 2008Idiosyncratic risk and the cross-section of expected stock returns1,067 cited
  • 1960The Pareto-Levy Law and the Distribution of Income741 cited
  • 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
  • 2004Asymptotic efficiency of the two-stage estimation method for copula-based models

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  • 2011Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective44 cited
  • 2018Credit and market risks measurement in carbon financing for Chinese banks38 cited
  • 2012Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings33 cited
  • 2013Trading strategies with copulas28 cited