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Financial dependence analysis: applications of vine copulas
16 references·0 citing·33 second hop
Financial dependence analysis: applications of vine copulas (2013)Financial dependence analysis: applicatio…Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Modeling Dependence with C- a…Dependence Modeling: Vine Copula Handbook (2010)Dependence Modeling: Vine Cop…Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Modeling International Financ…Copula–Based Models for Financial Time Series (2009)Copula–Based Models for Finan…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Uncertainty Analysis with High Dimensional Dependence Modelling (2006)Uncertainty Analysis with Hig…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…An Introduction to Copulas (1999)An Introduction to CopulasEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsFractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Families of $m$-variate distr…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Measuring Business Cycles: A Modern Perspective (1994)Measuring Business Cycles: A …Business Cycles, Indicators, and Forecasting (1993)Business Cycles, Indicators, …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Measuring Business Cycles (1947)Measuring Business CyclesMultivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Dividend Policy, Growth, and the Valuation of Shares (1961)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Selecting and estimating regular vine copulae and application to financial returns (2012)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Understanding business cycles (1977)Dissecting the cycle: a methodological investigation (2002)Can News About the Future Drive the Business Cycle? (2006)Generating random correlation matrices based on vines and extended onion method (2009)
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References

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  • 1999An Introduction to Copulas7,743 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 1947Measuring Business Cycles1,481 cited
  • 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters777 cited
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  • 2010Dependence Modeling: Vine Copula Handbook325 cited
  • 2009

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Modeling International Financial Returns with a Multivariate Regime-switching Copula
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