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Modelling Dependence in High Dimensions with Factor Copulas
16 references·1 citing·38 second hop
Modelling Dependence in High Dimensions with Factor Copulas (2015)Modelling Dependence in High Dimensions w…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…An Introduction to Copulas (2006)An Introduction to CopulasCopula Methods in Finance (2004)Copula Methods in FinanceDetermining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…On Default Correlation (2000)On Default CorrelationNumerical Methods in Economics (1998)Numerical Methods in EconomicsNormal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…Modelling Extremal Events (1997)Modelling Extremal EventsAutoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …The Scree Test For The Number Of Factors (1966)The Scree Test For The Number…Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)Time-Varying Systemic Risk: E…The arbitrage theory of capital asset pricing (1976)The Econometrics of Financial Markets (1997)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)The Econometrics of Financial Markets (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Oil prices, US stock return, and the dependence between their quantiles (2015)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)Modern factor analysis (1960)The Application of Electronic Computers to Factor Analysis (1960)A Rationale and Test for the Number of Factors in Factor Analysis (1965)Evaluating the use of exploratory factor analysis in psychological research. (1999)Best Practices for Developing and Validating Scales for Health, Social, and Behavioral Research: A Primer (2018)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Coherent Measures of Risk (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)Maximum-Likelihood Estimation (2017)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Impact of Uncertainty Shocks (2009)ARCH modeling in finance (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)
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References

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  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1997Modelling Extremal Events4,397 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
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  • 2007Pair-copula constructions of multiple dependence2,082 cited
  • 2004Copula Methods in Finance2,020 cited
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  • 2006An Introduction to Copulas1,470 cited
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  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

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  • 2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads321 cited