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Maximum likelihood estimation of mixed C-vines with application to exchange rates
16 references·16 citing·30 second hopsampled
Maximum likelihood estimation of mixed C-vines with application to exchange rates (2012)Maximum likelihood estimation of mixed C-…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…Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Everything You Always Wanted …Uncertainty Analysis with High Dimensional Dependence Modelling (2006)Uncertainty Analysis with Hig…Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)Goodness‐of‐fit Procedures fo…Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)Estimation and model selectio…Asymptotic efficiency of the two-stage estimation method for copula-based models (2004)Asymptotic efficiency of the …Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…An Introduction to Copulas (1999)An Introduction to CopulasFamilies of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Families of $m$-variate distr…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Ordinal Measures of Association (1958)Ordinal Measures of Associati…A NEW MEASURE OF RANK CORRELATION (1938)A NEW MEASURE OF RANK CORRELA…Vine Copula Based Modeling (2021)Vine Copula Based ModelingModel selection in sparse high-dimensional vine copula models with an application to portfolio risk (2019)Model selection in sparse hig…The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)The impact of energy prices o…The contagion effect in European sovereign debt markets: A regime-switching vine copula approach (2017)The contagion effect in Europ…Measuring systemic risk in the European banking sector: a copula CoVaR approach (2017)Measuring systemic risk in th…Corporate Sustainable Development. Revisiting the Relationship between Corporate Social Responsibility Dimensions (2017)Corporate Sustainable Develop…Pair-Copula Constructions for Financial Applications: A Review (2016)Pair-Copula Constructions for…Multivariate environmental contours using C-vine copulas (2016)Multivariate environmental co…Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios (2015)Multivariate dependence risk …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…Modelling skewed spatial random fields through the spatial vine copula (2014)Modelling skewed spatial rand…Selection of Vine Copulas (2013)Selection of Vine CopulasRisk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013)Risk management with high-dim…Parameter estimation for pair-copula constructions (2013)Parameter estimation for pair…Conditional copula simulation for systemic risk stress testing (2013)Conditional copula simulation…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)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Copula Methods in Finance (2004)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)A Capital Asset Pricing Model with Time-Varying Covariances (1988)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Understanding Relationships Using Copulas (1998)An effect size primer: A guide for clinicians and researchers. (2009)Comparison of Values of Pearson's and Spearman's Correlation Coefficients on the Same Sets of Data (2011)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The t Copula and Related Copulas (2007)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1938A NEW MEASURE OF RANK CORRELATION7,315 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask1,622 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters777 cited
  • 1958Ordinal Measures of Association740 cited
  • 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
  • 2004Asymptotic efficiency of the two-stage estimation method for copula-based models602 cited
  • 2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation

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407 cited
  • 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification402 cited
  • Cited by

    • 2018The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach224 cited
    • 2021Vine Copula Based Modeling199 cited
    • 2013Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50163 cited
    • 2017Measuring systemic risk in the European banking sector: a copula CoVaR approach140 cited
    • 2014Modelling skewed spatial random fields through the spatial vine copula126 cited
    • 2013Parameter estimation for pair-copula constructions110 cited
    • 2013Selection of Vine Copulas99 cited
    • 2016Multivariate environmental contours using C-vine copulas92 cited
    • 2016Pair-Copula Constructions for Financial Applications: A Review82 cited
    • 2017Corporate Sustainable Development. Revisiting the Relationship between Corporate Social Responsibility Dimensions81 cited
    • 2015Conditional quantiles and tail dependence74 cited
    • 2013Conditional copula simulation for systemic risk stress testing73 cited
    • 2019Model selection in sparse high-dimensional vine copula models with an application to portfolio risk72 cited
    • 2015Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review62 cited
    • 2015Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios61 cited
    • 2017The contagion effect in European sovereign debt markets: A regime-switching vine copula approach61 cited