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Vine copula based dependence modeling in sustainable finance
16 references·0 citing·42 second hop
Vine copula based dependence modeling in sustainable finance (2022)Vine copula based dependence modeling in …Aggregate Confusion: The Divergence of ESG Ratings (2022)Aggregate Confusion: The Dive…Should investors include green bonds in their portfolios? Evidence for the USA and Europe (2021)Should investors include gree…Responsible Investing: The ESG-Efficient Frontier (2019)Responsible Investing: The ES…Why and How Investors Use ESG Information: Evidence from a Global Survey (2017)Why and How Investors Use ESG…Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas (2016)Evading the curse of dimensio…Simplified pair copula constructions—Limitations and extensions (2013)Simplified pair copula constr…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…Dependence Modeling: Vine Copula Handbook (2010)Dependence Modeling: Vine Cop…On the simplified pair-copula construction — Simply useful or too simplistic? (2009)On the simplified pair-copula…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Copula Methods in Finance (2004)Copula Methods in FinanceAsymptotic efficiency of the two-stage estimation method for copula-based models (2004)Asymptotic efficiency of the …Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity (1997)On Fractionally Integrated Au…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Maximum Likelihood Estimation of the Polychoric Correlation Coefficient (1979)A General Structural Equation Model with Dichotomous, Ordered Categorical, and Continuous Latent Variable Indicators (1984)Comparison of semiparametric and parametric methods for estimating copulas (2006)A Primer on Copulas for Count Data (2007)A review of copula models for economic time series (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)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)An Introduction to Copulas (1999)Extreme Correlation of International Equity Markets (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Truncated regular vines in high dimensions with application to financial data (2012)The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Multivariate Simultaneous Generalized ARCH (1995)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)The theory and practice of corporate finance: evidence from the field (2001)The economic implications of corporate financial reporting (2005)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)The Importance of Climate Risks for Institutional Investors (2019)Sustainable investing with ESG rating uncertainty (2021)Environmental, Social, and Governance (ESG) disclosure: A literature review (2022)Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Corporate Governance and Equity Prices (2003)Individual and Corporate Social Responsibility (2009)Sustainable investing in equilibrium (2020)Dissecting green returns (2022)Intraclass correlations: Uses in assessing rater reliability. (1979)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2017)Content Analysis: An Introduction to Its Methodology (2019)Climate Risks and Financial Stability (2020)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)Understanding Relationships Using Copulas (1998)The t Copula and Related Copulas (2007)
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References

  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2022Aggregate Confusion: The Divergence of ESG Ratings3,411 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2019Responsible Investing: The ESG-Efficient Frontier2,100 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2017Why and How Investors Use ESG Information: Evidence from a Global Survey1,718 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2004Asymptotic efficiency of the two-stage estimation method for copula-based models602 cited
  • 2010Dependence Modeling: Vine Copula Handbook325 cited
  • 1997On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity243 cited
  • 2009On the simplified pair-copula construction — Simply useful or too simplistic?224 cited
  • 2021Should investors include green bonds in their portfolios? Evidence for the USA and Europe168 cited
  • 2013

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Simplified pair copula constructions—Limitations and extensions
151 cited
  • 2016Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas147 cited
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