Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Nonparametric estimation of copulas for time series

10 references·16 citing·34 second hop

FromToDepth

this work references cited by second hop

References

1999An Introduction to Copulas7,743 cited
2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
1998Understanding Relationships Using Copulas1,258 cited
2000On Default Correlation1,257 cited
1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
2007Copulas for Finance - A Reading Guide and Some Applications426 cited
2000Sensitivity analysis of Values at Risk400 cited
2004Weak convergence of empirical copula processes396 cited
2003Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall274 cited

Cited by

2008Testing for equality between two copulas190 cited
2012On the structure and estimation of hierarchical Archimedean copulas166 cited
2007Nonparametric estimation of copula functions for dependence modelling164 cited
2002An introduction to market risk measurement138 cited
2004Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

120 cited

2007The estimation of copulas : theory and practice118 cited

2008WTI crude oil Futures in portfolio diversification: The time-to-maturity effect115 cited

2005A kolmogorov-smirnov type test for positive quadrant dependence107 cited

2010Dependence Calibration in Conditional Copulas: A Nonparametric Approach103 cited

2017Probit transformation for nonparametric kernel estimation of the copula density100 cited

2006Copulas: A Review and Recent Developments99 cited

2012A Copula‐Based Non‐parametric Measure of Regression Dependence94 cited

2017Applied Quantitative Finance93 cited

2004A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk93 cited

2014Copulas in Econometrics92 cited

2012Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality77 cited