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Flexible copula models with dynamic dependence and application to financial data
16 references·0 citing·38 second hop
Flexible copula models with dynamic dependence and application to financial data (2020)Flexible copula models with dynamic depen…Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)Time-Varying Systemic Risk: E…Modeling Dependence in High Dimensions With Factor Copulas (2015)Modeling Dependence in High D…Dynamic factor models with infinite-dimensional factor spaces: One-sided representations (2014)Dynamic factor models with in…Dependence Modeling with Copulas (2014)Dependence Modeling with Copu…Factor copula models for multivariate data (2013)Factor copula models for mult…Conditional Euro Area Sovereign Default Risk (2013)Conditional Euro Area Soverei…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Tail order and intermediate tail dependence of multivariate copulas (2011)Tail order and intermediate t…A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)A Dynamic Multivariate Heavy-…Dynamic stochastic copula models: estimation, inference and applications (2010)Dynamic stochastic copula mod…Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Modeling International Financ…New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008)New Evidence of Asymmetric De…Determining the Number of Factors in the General Dynamic Factor Model (2007)Determining the Number of Fac…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)An Introduction to Copulas (1999)Dynamic Conditional Correlation (2002)Truncated regular vines in high dimensions with application to financial data (2012)Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model (2018)What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats? (2019)Extreme Correlation of International Equity Markets (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)Determining the Number of Factors in Approximate Factor Models (2002)Forecasting Using Principal Components From a Large Number of Predictors (2002)Testing Hypotheses About the Number of Factors in Large Factor Models (2009)Cross-Sectional Dependence in Panel Data Analysis (2011)The Econometrics of Financial Markets (2012)Autoencoder Asset Pricing Models (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A review of copula models for economic time series (2012)Copula Methods for Forecasting Multivariate Time Series (2013)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)SRISK: A conditional capital shortfall measure of systemic risk (2017)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2014)Asset Price Bubbles and Systemic Risk (2020)Tail risk contagion between international financial markets during COVID-19 pandemic (2020)Macroeconomic Forecasting Using Diffusion Indexes (2002)Testing for a unit root in panels with dynamic factors (2004)Forecasting economic time series using targeted predictors (2008)Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets (2011)Does the price of oil interact with clean energy prices in the stock market? (2013)A systematic review of the bubble dynamics of cryptocurrency prices (2020)The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)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

  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2014Dependence Modeling with Copulas1,564 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2007Determining the Number of Factors in the General Dynamic Factor Model559 cited
  • 2009Modeling International Financial Returns with a Multivariate Regime-switching Copula293 cited
  • 2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations293 cited
  • 2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads272 cited
  • 2008New Evidence of Asymmetric Dependence Structures in International Equity Markets251 cited
  • 2015Modeling Dependence in High Dimensions With Factor Copulas245 cited
  • 2010Dynamic stochastic copula models: estimation, inference and applications186 cited
  • 2013Factor copula models for multivariate data185 cited
  • 2013Conditional Euro Area Sovereign Default Risk167 cited
  • 2011Tail order and intermediate tail dependence of multivariate copulas

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139 cited
  • 2014Dynamic factor models with infinite-dimensional factor spaces: One-sided representations119 cited
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