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Time series copulas for heteroskedastic data
16 references·3 citing·35 second hop
Time series copulas for heteroskedastic data (2017)Time series copulas for heteroskedastic d…Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility (2014)Macroeconomic Forecasting Per…Dependence Modeling with Copulas (2014)Dependence Modeling with Copu…A review of copula models for economic time series (2012)A review of copula models for…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Estimation of copula-based semiparametric time series models (2005)Estimation of copula-based se…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Copulas and Markov processes (1992)Copulas and Markov processesIntra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…The statistical distribution of exchange rates: Empirical evidence and economic implications (1987)The statistical distribution …Copula-based CUSUM charts for monitoring infectious disease using Markovian Poisson processes (2022)Copula-based CUSUM charts for…Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies (2022)Conditional dependence struct…Implicit Copulas: An Overview (2021)Implicit Copulas: An OverviewModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)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)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Statistical Modeling of Spatial Extremes (2012)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach (2019)A review and assessment of importance sampling methods for reliability analysis (2022)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2014Dependence Modeling with Copulas1,564 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 2012A review of copula models for economic time series587 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 2005Estimation of copula-based semiparametric time series models435 cited
  • 1992Copulas and Markov processes335 cited
  • 2014Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility318 cited
  • 1987The statistical distribution of exchange rates: Empirical evidence and economic implications

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313 cited

Cited by

  • 2022Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies29 cited
  • 2021Implicit Copulas: An Overview27 cited
  • 2022Copula-based CUSUM charts for monitoring infectious disease using Markovian Poisson processes12 cited