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Modelling Dependence in High Dimensions with Factor Copulas · Study

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PreprintModelling Dependence in High Dimensions with Factor Copulas

Dong Hwan Oh2015

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Preprintgreen2015

Modelling Dependence in High Dimensions with Factor Copulas

16 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1966The Scree Test For The Number Of Factors 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1997Modelling Extremal Events 2002Determining the Number of Factors in Approximate Factor Models 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1998Numerical Methods in Economics

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2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

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2015Modeling Dependence in High Dimensions With Factor Copulasarticle · 26 shared references 2012A review of copula models for economic time seriesarticle · 17 shared references 2013Copula Methods for Forecasting Multivariate Time Serieschapter · 16 shared references 2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreadsarticle · 15 shared references 2013Financial Risk Measurement for Financial Risk Managementchapter · 13 shared references 2012Financial Risk Measurement for Financial Risk Managementreport · 12 shared references

Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations16

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2631656

openalex_workW3124195909

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