References

• 1999An Introduction to Copulas7,743 cited
• 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
• 2007Pair-copula constructions of multiple dependence2,055 cited
• 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask1,622 cited
• 1994Autoregressive Conditional Density Estimation1,580 cited
• 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
• 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
• 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters777 cited
• 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
• 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
• 2012A review of copula models for economic time series587 cited
• 2014Is there dependence and systemic risk between oil and renewable energy stock prices?469 cited
• 2012New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing453 cited
• 2005Estimation of copula-based semiparametric time series models435 cited
• 2003Regime jumps in electricity prices