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Model robust inference with two-stage maximum likelihood estimation for copulas
16 references·0 citing·30 second hop
Model robust inference with two-stage maximum likelihood estimation for copulas (2019)Model robust inference with two-stage max…Dependence Modeling with Copulas (2014)Dependence Modeling with Copu…Statistical testing of covariate effects in conditional copula models (2013)Statistical testing of covari…Parameter estimation for pair-copula constructions (2013)Parameter estimation for pair…Estimation of a Conditional Copula and Association Measures (2011)Estimation of a Conditional C…Vine copulas with asymmetric tail dependence and applications to financial return data (2010)Vine copulas with asymmetric …Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Copulas: A Personal View (2009)Copulas: A Personal ViewModels for construction of multivariate dependence – a comparison study (2008)Models for construction of mu…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Everything You Always Wanted …Comparison of semiparametric and parametric methods for estimating copulas (2006)Comparison of semiparametric …Asymptotic efficiency of the two-stage estimation method for copula-based models (2004)Asymptotic efficiency of the …Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…An Introduction to Copulas (1999)An Introduction to CopulasStatistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…Extreme Values, Regular Variation and Point Processes (1987)Models for Exceedances Over High Thresholds (1990)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Forecast Verification (2011)Maximum Likelihood Estimation of the Polychoric Correlation Coefficient (1979)A General Structural Equation Model with Dichotomous, Ordered Categorical, and Continuous Latent Variable Indicators (1984)A Primer on Copulas for Count Data (2007)A review of copula models for economic time series (2012)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)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)Understanding Relationships Using Copulas (1998)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A Primer on Copulas for Count Data (2007)Truncated regular vines in high dimensions with application to financial data (2012)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Copula Methods in Finance (2004)Modelling Dependence with Copulas and Applications to Risk Management (2003)Goodness-of-fit tests for copulas: A review and a power study (2007)Introductory Econometrics for Finance (2008)Construction of asymmetric multivariate copulas (2008)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

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  • 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask1,622 cited
  • 2014Dependence Modeling with Copulas1,564 cited
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  • 2013Parameter estimation for pair-copula constructions110 cited
  • 2011Estimation of a Conditional Copula and Association Measures

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98 cited
  • 2013Statistical testing of covariate effects in conditional copula models45 cited
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