This document has not been cited yet.

1. Aas, K., Czado, C., Frigessi, A., and Bakken, H. (2009). Pair-copula constructions of multiple dependence. Insurance Math. Econom., 44(2), 182–198.

2. Akaike, H. (1974). A new look at the statistical model identification. IEEE Trans. Automatic Control, AC-19(6), 716–723.
   Paper not yet in RePEc: Add citation now
   

3. Andersen, T., Bollerslev, T., and Diebold, F. (2007). Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. Rev. Econ. Stat., 89(4), 701–720.

4. Andersen, T., Bollerslev, T., Diebold, F., and Labys, P. (2001). The distribution of realized exchange rate volatility. J. Amer. Statist. Assoc., 96(453), 42–55.

5. Beare, B. (2010). Copulas and temporal dependence. Econometrica, 78(1), 395–410.

6. Beare, B. K. and Seo, J. (2015). Vine copula specifications for stationary multivariate Markov chains. J. Time. Ser. Anal., 36, 228–246.

7. Brockwell, P. J. and Davis, R. A. (1991). Time Series: Theory and Methods. Springer-Verlag, New York, second edition.
   Paper not yet in RePEc: Add citation now
   

8. Bush, T., Christensen, B., and M.Ø., N. (2011). The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets. J. Econometrics, 60(1), 48–57.

9. Chen, X. and Fan, Y. (2006). Estimation of copula-based semiparametric model time series models. J. Econometrics, 130(2), 307–335.

10. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. J. Financ. Econ., 7(2), 174–196.

11. Diebold, F. X. and Mariano, R. S. (1995). Comparing predictive accuracy. J. Bus. Econom. Statist., 13(3), 253–263.

12. Duchesne, P., Ghoudi, K., and Rémillard, B. (2012). On testing for independence between the innovations of several time series. Canad. J. Statist., 40(3), 447–479.
    Paper not yet in RePEc: Add citation now
    

13. Engle, R. F. and Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Economet. Theor., 11(1),122–150.

14. Erhardt, T. M., Czado, C., and Schepsmeier, U. (2014). R-vine models for spatial time series with an application to daily mean temperature. Biometrics, to appear. DOI:10.1111/biom.12279
    Paper not yet in RePEc: Add citation now
    

15. Fang, H.-B., Fang, K.-T., and Kotz, S. (2002). The meta-elliptical distributions with given marginals. J. Multivariate Anal., 82(1), 1–16. Brought to you by | Jose Manuel Barrueco/CitEc Authenticated Download Date | 1/21/17 4:00 PM | Clarence Simard and Bruno Rémillard

16. Genest, C. and Rémillard, B. (2004). Tests of independence or randomness based on the empirical copula process. Test, 13(2), 335–369.
    Paper not yet in RePEc: Add citation now
    

17. Genest, C., Gendron, M., and Bourdeau-Brien, M. (2009). The advent of copula in finance. Europ. J. Financ., 15(7-8), 609–618.

18. Ghoudi, K. and Rémillard, B. (2004). Empirical processes based on pseudo-observations. II. The multivariate case. In Asymptotic Methods in Stochastics, 381–406. Amer. Math. Soc., Providence, RI.
    Paper not yet in RePEc: Add citation now
    
19. Kurowicka, D. and Joe, H., editors (2011). Dependence Modeling. Vine Copula Handbook. World Scientific, Hackensack, NJ.
    Paper not yet in RePEc: Add citation now
    

20. Martens, M. and van Dijk, D. (2006). Measuring volatility with the realized range. J. Econometrics, 138(1), 181–207.

21. Nelsen, R. B. (1999). An introduction to copulas. Springer-Verlag, New York.
    Paper not yet in RePEc: Add citation now
    
22. Rémillard, B. (2013). Statistical Methods For Financial Engineering. CRC Press, Boca Raton, FL.
    Paper not yet in RePEc: Add citation now
    

23. Rémillard, B., Papageorgiou, N., and Soustra, F. (2012). Copula-based semiparametric models for multivariate time series. J. Multivariate Anal., 110, 30–42.

24. Rio, E. (2000). Théorie asymptotique des processus aléatoires faiblement dépendants. Springer-Verlag, Berlin.
    Paper not yet in RePEc: Add citation now
    

25. Smith, M. (2015). Copula modelling of dependence in multivariate time series. Int. J. Forecasting, to appear. DOI:10.1016/j.ijforecast.2014.04.003

26. Sokolinskiy, O. and Van Dijk, D. (2011). Forecasting volatility with copula-based time series models. Technical report, Tinbergen Institute Discussion Paper.

27. Soustra, F. (2006). Pricing of synthetic CDO tranches, analysis of base correlations and an introduction to dynamic copulas. Master thesis, HEC Montréal.
    Paper not yet in RePEc: Add citation now
    

28. Zhang, L., Mykland, P., and Aït-Sahalia, Y. (2005). A tale of two time scales: Determining integrated volatility with noisy high-frequency data. J. Amer. Statist. Assoc., 100(472), 1394–1414.

29. Zhou, B. (1996). High-frequency data and volatility in foreign-exchange rates. J. Bus. Econom. Statist., 14(1), 45–52. Brought to you by | Jose Manuel Barrueco/CitEc Authenticated Download Date | 1/21/17 4:00 PM

1. Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis. (2019). Stephan, Andreas ; Sahamkhadam, Maziar.
   In: Papers.
   RePEc:arx:papers:1912.10328.

   Full description at Econpapers || Download paper

2. Generalized additive models for conditional dependence structures. (2015). Chavez-Demoulin, Valerie ; Vatter, Thibault.
   In: Journal of Multivariate Analysis.
   RePEc:eee:jmvana:v:141:y:2015:i:c:p:147-167.

   Full description at Econpapers || Download paper

3. Dependent frequency–severity modeling of insurance claims. (2015). Feng, Xiaoping ; Shi, Peng ; Ivantsova, Anastasia.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:64:y:2015:i:c:p:417-428.

   Full description at Econpapers || Download paper

4. Measures of tail asymmetry for bivariate copulas. (2013). Rosco, J. ; Joe, Harry.
   In: Statistical Papers.
   RePEc:spr:stpapr:v:54:y:2013:i:3:p:709-726.

   Full description at Econpapers || Download paper

5. Estimating standard errors in regular vine copula models. (2013). Schepsmeier, Ulf ; Stober, Jakob .
   In: Computational Statistics.
   RePEc:spr:compst:v:28:y:2013:i:6:p:2679-2707.

   Full description at Econpapers || Download paper

6. A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania. (2013). Marcu, Nicu ; Acatrinei, Marius ; Gorun, Adrian .
   In: Journal for Economic Forecasting.
   RePEc:rjr:romjef:v::y:2013:i:1:p:136-148.

   Full description at Econpapers || Download paper

7. Default Probability Estimation via Pair Copula Constructions. (2013). Dalla Valle, Luciana ; de Giuli, Maria Elena ; Manelli, Claudio ; Tarantola, Claudia.
   In: DEM Working Papers Series.
   RePEc:pav:demwpp:demwp0048.

   Full description at Econpapers || Download paper

8. Nonparametric Multiple Change Point Analysis of the Global Financial Crisis. (2013). Powell, Robert ; Allen, David ; Singh, Abhay K.
   In: KIER Working Papers.
   RePEc:kyo:wpaper:866.

   Full description at Econpapers || Download paper

9. Financial Dependence Analysis: Applications of Vine Copulae. (2013). Powell, Robert ; Allen, David ; Mohammad. A. Ashraf, ; Singh, Abhay K.
   In: KIER Working Papers.
   RePEc:kyo:wpaper:843.

   Full description at Econpapers || Download paper

10. Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models. (2013). Okhrin, Ostap ; Zhang, Shulin ; Zhou, Qian M. ; Peter X.-K. Song, .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-041.

    Full description at Econpapers || Download paper

11. Factor copula models for multivariate data. (2013). Krupskii, Pavel ; Joe, Harry.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:120:y:2013:i:c:p:85-101.

    Full description at Econpapers || Download paper

12. Simplified pair copula constructions—Limitations and extensions. (2013). Stober, Jakob ; Joe, Harry ; Czado, Claudia.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:119:y:2013:i:c:p:101-118.

    Full description at Econpapers || Download paper

13. Vine constructions of Lévy copulas. (2013). Nicklas, Stephan ; Grothe, Oliver.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:119:y:2013:i:c:p:1-15.

    Full description at Econpapers || Download paper

14. Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas. (2013). Weiß, Gregor N. F., ; Supper, Hendrik.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3334-3350.

    Full description at Econpapers || Download paper

15. Canonical vine copulas in the context of modern portfolio management: Are they worth it?. (2013). faff, robert ; Alcock, Jamie ; Brailsford, Timothy ; Low, Rand Kwong Yew, .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:3085-3099.

    Full description at Econpapers || Download paper

16. On the structure and estimation of hierarchical Archimedean copulas. (2013). Okhrin, Ostap ; Schmid, Wolfgang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:2:p:189-204.

    Full description at Econpapers || Download paper

17. Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach. (2013). Righi, Marcelo ; Ceretta, Paulo Sergio.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:35:y:2013:i:c:p:199-206.

    Full description at Econpapers || Download paper

18. Mixture of D-vine copulas for modeling dependence. (2013). Jung, Yoon-Sung ; Liao, Shu-Min ; Kim, Jong-Min.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:64:y:2013:i:c:p:1-19.

    Full description at Econpapers || Download paper

19. Pair Copula Construction based Expected Shortfall estimation. (2013). Righi, Marcelo ; Ceretta, Paulo Sergio.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-13-00142.

    Full description at Econpapers || Download paper

20. Some theorems on conditional mean convergence and conditional almost sure convergence for randomly weighted sums of dependent random variables. (2012). Cabrera, Manuel Ordoez ; Rosalsky, Andrew ; Volodin, Andrei.
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
    RePEc:spr:testjl:v:21:y:2012:i:2:p:369-385.

    Full description at Econpapers || Download paper

21. Spillover Effect in the MENA Area: Case of Four Financial Markets. (2012). El Alaoui, Marwane ; Benbachir, Saad.
    In: MPRA Paper.
    RePEc:pra:mprapa:48682.

    Full description at Econpapers || Download paper

22. Operational risk: A Basel II++ step before Basel III. (2012). GUEGAN, Dominique ; Hassani, Bertrand K..
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:11053rr.

    Full description at Econpapers || Download paper

23. Operational risk: A Basel II++ step before Basel III. (2012). GUEGAN, Dominique ; Hassani, Bertrand K..
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:11053r.

    Full description at Econpapers || Download paper

24. Operational risk : A Basel II++ step before Basel III. (2012). Guegan, Dominique ; Hassani, Bertrand.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00722029.

    Full description at Econpapers || Download paper

25. Operational risk : A Basel II++ step before Basel III. (2012). GUEGAN, Dominique.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00722029.

    Full description at Econpapers || Download paper

26. Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures. (2012). Hua, Lei ; Joe, Harry.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:2:p:492-503.

    Full description at Econpapers || Download paper

27. Crisis and risk dependencies. (2012). Polle, Simone ; Grundke, Peter.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:223:y:2012:i:2:p:518-528.

    Full description at Econpapers || Download paper

28. Efficient Bayesian inference for stochastic time-varying copula models. (2012). Czado, Claudia ; Almeida, Carlos.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:6:p:1511-1527.

    Full description at Econpapers || Download paper

29. Modelling multi-output stochastic frontiers using copulas. (2012). Steel, Mark ; Steel, Mark F. J., ; Carta, Alessandro .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3757-3773.

    Full description at Econpapers || Download paper

30. Vine copulas with asymmetric tail dependence and applications to financial return data. (2012). Joe, Harry ; Li, Haijun ; Nikoloulopoulos, Aristidis K..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3659-3673.

    Full description at Econpapers || Download paper

31. An overview of the goodness-of-fit test problem for copulas. (2012). Fermanian, Jean-David.
    In: Papers.
    RePEc:arx:papers:1211.4416.

    Full description at Econpapers || Download paper

32. A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving. (2012). Kohn, Robert ; Peters, Gareth W. ; Alice X. D. Dong, .
    In: Papers.
    RePEc:arx:papers:1210.3849.

    Full description at Econpapers || Download paper

33. Comparing point and interval estimates in the bivariate t-copula model with application to financial data. (2011). Dakovic, Rada ; Czado, Claudia.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:52:y:2011:i:3:p:709-731.

    Full description at Econpapers || Download paper

34. Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis. (2011). Grothe, Oliver ; Schnieders, Julius.
    In: EWI Working Papers.
    RePEc:ris:ewikln:2011_005.

    Full description at Econpapers || Download paper

35. Analysis of multidimensional probability distributions with copula functions. II. (2011). Fantazzini, Dean.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0094.

    Full description at Econpapers || Download paper

36. Analysis of multidimensional probability distributions with copula functions. (2011). Fantazzini, Dean.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0077.

    Full description at Econpapers || Download paper

37. An econometric Study for Vine Copulas. (2011). Maugis, Pierre-Andre ; Guegan, Dominique.
    In: Post-Print.
    RePEc:hal:journl:halshs-00645799.

    Full description at Econpapers || Download paper

38. Operational risk: A Basel II++ step before Basel III. (2011). Guegan, Dominique ; Hassani, Bertrand.
    In: Post-Print.
    RePEc:hal:journl:halshs-00639484.

    Full description at Econpapers || Download paper

39. An econometric Study for Vine Copulas. (2011). GUEGAN, Dominique ; Maugis, Pierre-Andre.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00645799.

    Full description at Econpapers || Download paper

40. Tail order and intermediate tail dependence of multivariate copulas. (2011). Hua, Lei ; Joe, Harry.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:102:y:2011:i:10:p:1454-1471.

    Full description at Econpapers || Download paper

41. Spatial dependence in wind and optimal wind power allocation: A copula-based analysis. (2011). Grothe, Oliver ; Schnieders, Julius.
    In: Energy Policy.
    RePEc:eee:enepol:v:39:y:2011:i:9:p:4742-4754.

    Full description at Econpapers || Download paper

42. Semiparametric bivariate Archimedean copulas. (2011). Hernandez-Lobato, Jose Miguel ; Suarez, Alberto.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:55:y:2011:i:6:p:2038-2058.

    Full description at Econpapers || Download paper

43. Partial correlation with copula modeling. (2011). Jung, Yoon-Sung ; Choi, Taeryon ; Kim, Jong-Min ; Sungur, Engin A..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:55:y:2011:i:3:p:1357-1366.

    Full description at Econpapers || Download paper

44. Contagion effects of the subprime crisis in the European NYSE Euronext markets. (2010). Vieira, Isabel ; Horta, Paulo ; Mendes, Carlos .
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:9:y:2010:i:2:p:115-140.

    Full description at Econpapers || Download paper

45. Financial Applications of Copula-Models. (2010). Penikas, Henry.
    In: Journal of the New Economic Association.
    RePEc:nea:journl:y:2010:i:7:p:24-44.

    Full description at Econpapers || Download paper

46. An Econometric Study of Vine Copulas. (2010). Maugis, Pierre-Andre ; Guegan, Dominique.
    In: Post-Print.
    RePEc:hal:journl:halshs-00492124.

    Full description at Econpapers || Download paper

47. Note on new prospects on vines. (2010). Maugis, Pierre-Andre ; Guegan, Dominique.
    In: Post-Print.
    RePEc:hal:journl:halshs-00471362.

    Full description at Econpapers || Download paper

48. New Prospects on Vines. (2010). Maugis, Pierre-Andre ; Guegan, Dominique.
    In: Post-Print.
    RePEc:hal:journl:halshs-00348884.

    Full description at Econpapers || Download paper

49. Note on new prospects on vines. (2010). Maugis, Pierre-André ; GUEGAN, Dominique.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00471362.

    Full description at Econpapers || Download paper

50. Tail dependence functions and vine copulas. (2010). Joe, Harry ; Li, Haijun ; Nikoloulopoulos, Aristidis K..
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:101:y:2010:i:1:p:252-270.

    Full description at Econpapers || Download paper

Report date: 2025-10-05 06:32:25 || Missing content? Let us know