Crisis and risk dependencies (Q2253371): Difference between revisions

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+Pair-copula constructions of multiple dependence
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+Probability density decomposition for conditionally dependent random variables modeled by vines
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+Vines -- a new graphical model for dependent random variables.
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+Dependence structures for multivariate high-frequency data in finance
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+Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
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+Q3412547
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+The t Copula and Related Copulas
@@ Property / cites work: The t Copula and Related Copulas / rank @@
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+A goodness of fit test for copulas based on Rosenblatt's transformation
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+Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
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+Goodness-of-fit tests for copulas: A review and a power study
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+Top-down approaches for integrated risk management: how accurate are they?
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+Copulas, Goodness-of-Fit Tests and Measurement of Stochastic Dependencies Before and During the Financial Crisis
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+Comparison of estimators for pair-copula constructions
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+Bayesian copula selection
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+Q4382161
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+Measurement of aggregate risk with copulas
@@ Property / cites work: Measurement of aggregate risk with copulas / rank @@
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+Testing the Gaussian copula hypothesis for financial assets dependences
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+Q5706744
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+Vine copulas with asymmetric tail dependence and applications to financial return data
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+Remarks on a Multivariate Transformation
@@ Property / cites work: Remarks on a Multivariate Transformation / rank @@
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+Q3281461
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