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Copula model evaluation based on parametric bootstrap
16 references·5 citing·33 second hop
Copula model evaluation based on parametric bootstrap (2007)Copula model evaluation based on parametr…Which Copula is the Right One? (2007)Which Copula is the Right One?Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)Goodness‐of‐fit Procedures fo…Dependence patterns across financial markets: a mixed copula approach (2006)Dependence patterns across fi…Comparison of semiparametric and parametric methods for estimating copulas (2006)Comparison of semiparametric …A goodness of fit test for copulas based on Rosenblatt's transformation (2006)A goodness of fit test for co…Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection (2005)Pseudo-likelihood ratio tests…Non‐parametric Estimation of Tail Dependence (2005)Non‐parametric Estimation of …Bayesian copula selection (2005)Bayesian copula selectionGoodness-of-fit tests for copulas (2004)Goodness-of-fit tests for cop…Dependence structures for multivariate high-frequency data in finance (2003)Dependence structures for mul…Dependence Structures for Multivariate High-Frequency Data in Finance (2002)Dependence Structures for Mul…Bivariate Distributions with Given Extreme Value Attractor (2000)Bivariate Distributions with …An Introduction to Copulas (1999)An Introduction to CopulasMultivariate Models and Dependence Concepts (1998)Multivariate Models and Depen…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Copules archimédiennes et fam…Hybrid copula mixed models for combining case-control and cohort studies in meta-analysis of diagnostic tests (2016)Hybrid copula mixed models fo…Comment on ‘A vine copula mixed effect model for trivariate meta-analysis of diagnostic test accuracy studies accounting for disease prevalence’ (2016)Comment on ‘A vine copula mix…Recognizing and visualizing copulas: An approach using local Gaussian approximation (2014)Recognizing and visualizing c…Clustering Dependencies Via Mixtures of Copulas (2013)Clustering Dependencies Via M…Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR) (2013)Assessing dependence between …A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Understanding Relationships Using Copulas (1998)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Models for construction of multivariate dependence – a comparison study (2008)Multivariate non-normally distributed random variables in climate research – introduction to the copula approach (2008)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A Primer on Copulas for Count Data (2007)Copulas: A Personal View (2009)Truncated regular vines in high dimensions with application to financial data (2012)Extreme Values, Regular Variation and Point Processes (1987)Extreme Correlation of International Equity Markets (2001)Selecting copulas for risk management (2007)Extreme-Value Copulas (2010)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2006)Copula–Based Models for Financial Time Series (2009)Copula Methods for Forecasting Multivariate Time Series (2013)Ordinal Measures of Association (1958)The Performance of Some Correlation Coefficients for a General Bivariate Distribution (1960)On Nonparametric Measures of Dependence for Random Variables (1981)Weak convergence of empirical copula processes (2004)Modelling of extremal events in insurance and finance (1994)Modelling oil price and exchange rate co-movements (2011)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)Modelling Dependence with Copulas and Applications to Risk Management (2003)Goodness-of-fit tests for copulas: A review and a power study (2007)Introductory Econometrics for Finance (2008)VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights (2002)Elliptical copulas: applicability and limitations (2003)Factor copula models for multivariate data (2013)
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  • 2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation407 cited
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  • 1998Multivariate Models and Dependence Concepts352 cited
  • 2004Goodness-of-fit tests for copulas336 cited
  • 2006Comparison of semiparametric and parametric methods for estimating copulas334 cited
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  • 2003Dependence structures for multivariate high-frequency data in finance320 cited
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2006
A goodness of fit test for copulas based on Rosenblatt's transformation
131 cited

Cited by

  • 2013Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)41 cited
  • 2014Recognizing and visualizing copulas: An approach using local Gaussian approximation27 cited
  • 2013Clustering Dependencies Via Mixtures of Copulas25 cited
  • 2016Comment on ‘A vine copula mixed effect model for trivariate meta-analysis of diagnostic test accuracy studies accounting for disease prevalence’15 cited
  • 2016Hybrid copula mixed models for combining case-control and cohort studies in meta-analysis of diagnostic tests12 cited