SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Implicit Copulas: An Overview
16 references·0 citing·35 second hop
Implicit Copulas: An Overview (2021)Implicit Copulas: An OverviewDependence Modeling with Copulas (2014)Dependence Modeling with Copu…A five-factor asset pricing model (2014)A five-factor asset pricing m…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Copula Methods in Finance (2004)Copula Methods in FinanceCorrelation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…On Default Correlation (2000)On Default CorrelationAn Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Families of $m$-variate distr…The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)The Joy of Copulas: Bivariate…Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)The Econometrics of Financial Markets (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Integration and Contagion (2005)Downside Risk (2006)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On Persistence in Mutual Fund Performance (1997)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Introductory Econometrics for Finance (2008)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)
this work references cited by second hop

References

  • 2014A five-factor asset pricing model7,841 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2014Dependence Modeling with Copulas1,564 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2000On Default Correlation1,257 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals790 cited
  • 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters777 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

No citing works inside the corpus for this window.