Estimation of copula-based semiparametric time series modelsYanqin Fan2005-05-18articleJournal of Econometrics435 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingStochastic processes and financial applicationsStatistical Methods and InferenceAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 435 citations exist upstream.References1999An Introduction to Copulas1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation2004CAViaR1997An Overview of Value at Risk1998Understanding Relationships Using Copulas2000On Default Correlation1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions2007The t Copula and Related CopulasCited by2009Copula–Based Models for Financial Time Series2004Goodness-of-fit tests for copulas2013Copula Methods for Forecasting Multivariate Time Series2003Using copulae to bound the Value-at-Risk for functions of dependent risks2006Efficient Estimation of Semiparametric Multivariate Copula Models2015Modeling Dependence in High Dimensions With Factor Copulas2013A time-varying copula approach to oil and stock market dependence: The case of transition economies2010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions