SZodixStudyAcademic Library

Shelves Open access

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

Flexible copula models with dynamic dependence and application to financial data · Study

ArticleShelves

ArticleFlexible copula models with dynamic dependence and application to financial data

Pavel Krupskii2020

Article2020

Flexible copula models with dynamic dependence and application to financial data

Pavel Krupskii · Harry Joe

22 citations·0/0 files stored·Econometrics and Statistics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 22 citations exist upstream.

References

2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2014Dependence Modeling with Copulas 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 2005The Generalized Dynamic Factor Model 2012Selecting and estimating regular vine copulae and application to financial returns 2007Determining the Number of Factors in the General Dynamic Factor Model 2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 2009Modeling International Financial Returns with a Multivariate Regime-switching Copula

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine modelsarticle · 9 shared references 2018Testing for structural breaks in factor copula modelsarticle · 9 shared references 2020Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadingsarticle · 8 shared references 2014High Dimensional Dynamic Stochastic Copula Modelspreprint · 7 shared references 2018Forecasting the joint distribution of Australian electricity prices using dynamic vine copulaearticle · 7 shared references 2015High dimensional dynamic stochastic copula modelsarticle · 6 shared references

Details

Year2020

Typearticle

Published2020-02-17

VenueEconometrics and Statistics

ISSN-L2452-3062

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.ecosta.2020.01.005

openalex_workW3007603377

Links

Imported from OpenAlex (CC0) — nothing here is generated.