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An Econometric Study of Vine Copulas

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References

1995Techniques for Verifying the Accuracy of Risk Measurement Models2,489 cited
2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
2007Pair-copula constructions of multiple dependence2,082 cited
2009Modeling International Financial Returns with a Multivariate Regime-switching Copula293 cited
2004Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates120 cited
2007Models for construction of multivariate dependence41 cited

Cited by

2009Copula–Based Models for Financial Time Series381 cited
2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review28 cited
2013Multivariate VaRs for operational risk capital computation: a vine structure approach17 cited

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