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Pair-Copula Constructions of Multivariate Copulas
14 references·16 citing·30 second hop
Pair-Copula Constructions of Multivariate Copulas (2010)Pair-Copula Constructions of Multivariate…Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Modeling International Financ…Generating random correlation matrices based on vines and extended onion method (2009)Generating random correlation…Copula goodness-of-fit testing: an overview and power comparison (2009)Copula goodness-of-fit testin…Models for construction of multivariate dependence – a comparison study (2008)Models for construction of mu…Pair-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…Uncertainty Analysis with High Dimensional Dependence Modelling (2006)Uncertainty Analysis with Hig…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Handbook of heavy tailed distributions in finance (2003)Handbook of heavy tailed dist…Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Families of $m$-variate distr…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Spatial Interaction and the Statistical Analysis of Lattice Systems (1974)Spatial Interaction and the S…Exploring the risk spillover effects among China's pilot carbon markets: A regular vine copula-CoES approach (2019)Exploring the risk spillover …Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets (2018)Multivariate dependence and s…Copula approaches for modeling cross-sectional dependence of data breach losses (2018)Copula approaches for modelin…A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling (2018)A systemic risk analysis of I…A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas (2018)A general framework for data-…Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas (2016)Evading the curse of dimensio…D-vine copula based quantile regression (2016)D-vine copula based quantile …R-Vine Models for Spatial Time Series with an Application to Daily Mean Temperature (2015)R-Vine Models for Spatial Tim…Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review (2015)Efficient information based g…Conditional quantiles and tail dependence (2015)Conditional quantiles and tai…A new approach to assessing model risk in high dimensions (2015)A new approach to assessing m…Selection of Vine Copulas (2013)Selection of Vine CopulasPair Copula Constructions for Multivariate Discrete Data (2012)Pair Copula Constructions for…Maximum likelihood estimation of mixed C-vines with application to exchange rates (2012)Maximum likelihood estimation…Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation (2012)Estimation of Copula Models W…Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence (2010)Modeling Longitudinal Data Us…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Quantitative Risk Management (2011)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)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)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Testing Continuous-Time Models of the Spot Interest Rate (1996)Alternative models for stock price dynamics (2003)Copula Methods in Finance (2004)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? 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this work references cited by second hop

References

  • 1974Spatial Interaction and the Statistical Analysis of Lattice Systems6,140 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 2009Generating random correlation matrices based on vines and extended onion method1,057 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters777 cited
  • 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
  • 2003Handbook of heavy tailed distributions in finance351 cited
  • 2009Modeling International Financial Returns with a Multivariate Regime-switching Copula293 cited
  • 2008Models for construction of multivariate dependence – a comparison study291 cited
  • 2009Copula goodness-of-fit testing: an overview and power comparison270 cited

Cited by

  • 2012

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Maximum likelihood estimation of mixed C-vines with application to exchange rates
201 cited
  • 2012Pair Copula Constructions for Multivariate Discrete Data194 cited
  • 2016D-vine copula based quantile regression183 cited
  • 2010Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence172 cited
  • 2016Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas147 cited
  • 2018Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets121 cited
  • 2018A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas112 cited
  • 2019Exploring the risk spillover effects among China's pilot carbon markets: A regular vine copula-CoES approach110 cited
  • 2012Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation110 cited
  • 2013Selection of Vine Copulas99 cited
  • 2015R-Vine Models for Spatial Time Series with an Application to Daily Mean Temperature85 cited
  • 2015Conditional quantiles and tail dependence74 cited
  • 2018Copula approaches for modeling cross-sectional dependence of data breach losses74 cited
  • 2015A new approach to assessing model risk in high dimensions69 cited
  • 2018A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling67 cited
  • 2015Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review62 cited