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Objective priors for the number of degrees of freedom of a multivariate t distribution and the t -copula
10 references·0 citing·35 second hop
Objective priors for the number of degrees of freedom of a multivariate t distribution and the t -copula (2018)Objective priors for the number of degree…Bayesian approaches to copula modelling (2013)Bayesian approaches to copula…Statistics and Data Analysis for Financial Engineering (2010)Statistics and Data Analysis …Modelling dependence using skew t copulas: Bayesian inference and applications (2010)Modelling dependence using sk…The Advent of Copulas in Finance (2009)The Advent of Copulas in Fina…Extreme value properties of multivariate t copulas (2008)Extreme value properties of m…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (2003)Bayesian analysis of stochast…Risk Management: Value at Risk and Beyond (2002)Risk Management: Value at Ris…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…An Introduction to Copulas (1999)An Introduction to CopulasCoherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Conditional value-at-risk for general loss distributions (2002)The Econometrics of Financial Markets (2012)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Statistical Modeling of Spatial Extremes (2012)Extremal t processes: Elliptical domain of attraction and a spectral representation (2013)Efficient inference and simulation for elliptical Pareto processes (2015)Pair-copula constructions of multiple dependence (2007)Efficient estimation of copula-based semiparametric Markov models (2009)Out-of-sample comparison of copula specifications in multivariate density forecasts (2010)The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis (2010)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Parametric and Nonparametric Volatility Measurement (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Extreme Correlation of International Equity Markets (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation (2012)Simulated Method of Moments Estimation for Copula-Based Multivariate Models (2013)Modeling spot price dependence in Australian electricity markets with applications to risk management (2015)A Signal Processing Perspective on Financial Engineering (2016)The impact of natural disasters on the stock returns and volatilities of local firms (2016)Machine Learning Portfolio Allocation (2020)Introductory Econometrics for Finance (2008)A nonparametric Bayesian approach to copula estimation (2018)Implicit Copulas: An Overview (2021)Challenges of Big Data analysis (2014)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,777 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors633 cited
  • 2002Risk Management: Value at Risk and Beyond338 cited
  • 2010Statistics and Data Analysis for Financial Engineering262 cited
  • 2009The Advent of Copulas in Finance184 cited
  • 2008Extreme value properties of multivariate t copulas125 cited
  • 2010Modelling dependence using skew t copulas: Bayesian inference and applications112 cited
  • 2013Bayesian approaches to copula modelling45 cited

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