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Semiparametric Dynamic Max-Copula Model for Multivariate Time Series
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Semiparametric Dynamic Max-Copula Model for Multivariate Time Series (2017)Semiparametric Dynamic Max-Copula Model f…Principles of Copula Theory (2015)Principles of Copula TheoryModeling Dependence in High Dimensions With Factor Copulas (2015)Modeling Dependence in High D…Dependence Modeling with Copulas (2014)Dependence Modeling with Copu…The Economics of Structured Finance (2009)The Economics of Structured F…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 …Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Estimation of copula-based semiparametric time series models (2005)Estimation of copula-based se…Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)Estimation and model selectio…Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)Valuation of a CDO and an n -…Copula Methods in Finance (2004)Copula Methods in FinanceEstimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Understanding Relationships Using Copulas (1998)Understanding Relationships U…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)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)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)An Introduction to Copulas (1999)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Probit transformation for nonparametric kernel estimation of the copula density (2017)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Tails of multivariate Archimedean copulas (2009)The impact of heterogeneity in individual frailty on the dynamics of mortality (1979)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)CAViaR (2004)Introductory Econometrics for Finance (2008)Volatility forecast comparison using imperfect volatility proxies (2010)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Basel Committee On Banking Supervision (2010)A critical review on supply chain risk – Definition, measure and modeling (2014)Multivariate Archimax copulas (2014)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)A review and assessment of importance sampling methods for reliability analysis (2022)Forecasting: theory and practice (2022)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 2007Pair-copula constructions of multiple dependence2,082 cited
  • 2004Copula Methods in Finance2,020 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools2,014 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,763 cited
  • 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask1,675 cited
  • 2014Dependence Modeling with Copulas1,628 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,354 cited
  • 1998Understanding Relationships Using Copulas1,261 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 2009The Economics of Structured Finance750 cited
  • 2015Principles of Copula Theory640 cited
  • 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
  • 2005Estimation of copula-based semiparametric time series models435 cited
  • 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

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402 cited
  • 2015Modeling Dependence in High Dimensions With Factor Copulas245 cited
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