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Dynamic Copula Methods in Finance
0 references·16 citing·39 second hop
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  • 2015Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data78 cited
  • 2017A Stress-Strength Time-Varying Correlation Interference Model for Structural Reliability Analysis Using Copulas77 cited
  • 2012Time-dependent copulas77 cited
  • 2013A topological proof of Sklar’s theorem66 cited
  • 2013Clustering of financial time series in risky scenarios55 cited
  • 2017Goodness-of-Fit Tests for Copulas of Multivariate Time Series54 cited
  • 2014Vine Copula Specifications for Stationary Multivariate Markov Chains48 cited
  • 2021Climate risks and weather derivatives: A copula-based pricing model46 cited
  • 2014Copulas, diagonals, and tail dependence45 cited
  • 2014A spatial contagion measure for financial time series39 cited
  • 2020Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings37 cited
  • 2016Goodness-of-fit test for specification of semiparametric copula dependence models35 cited
  • 2013An Analysis of the Dependence Among Financial Markets by Spatial Contagion33 cited
  • 2012Bivariate copulas generated by perturbations33 cited

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2013
Modified Gaussian pseudo-copula: Applications in insurance and finance
32 cited
  • 2019Control charts of mean and variance using copula Markov SPC and conditional distribution by copula23 cited