Copula–Based Models for Financial Time Series
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Cited in
(77)- Stationary vine copula models for multivariate time series
- Copula-based dynamic models for multivariate time series
- The determinants of CDS spreads: evidence from the model space
- Trade and currency options hedging model
- Efficient two-step estimation via targeting
- Copulas and long memory
- Stochastic distortion and its transformed copula
- Single-index copulas
- Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- Hedging effectiveness of currency ETFs against WTI crude oil price fluctuations
- Conditional empirical copula processes and generalized measures of association
- Copula-based time series with filtered nonstationarity
- Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
- Forecasting time series with multivariate copulas
- Copulas, chaotic processes and time series: a survey
- A copula approach for dependence modeling in multivariate nonparametric time series
- Automated variable selection in vector multiplicative error models
- A general approach to the joint asymptotic analysis of statistics from sub-samples
- A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving
- Modeling dependence via copula of functionals of Fourier coefficients
- Non-parametric estimation of copula parameters: testing for time-varying correlation
- Copulas, tail dependence and applications to the analysis of financial time series
- Modelling financial time series using reflections of copulas
- Modeling foreign exchange rates using copula-based autoregressive conditional duration models
- Score test for varying copula parameter in bivariate financial time series
- Semi-parametric time series modelling with autocopulas
- Copula structured M4 processes with application to high-frequency financial data
- Bayesian model selection for D-vine pair-copula constructions
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
- Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
- Copula density estimation by total variation penalized likelihood with linear equality constraints
- A review of copula models for economic time series
- Time-dependent copulas
- Copula-based semiparametric models for multivariate time series
- In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes
- Statistical models and methods for dependence in insurance data
- An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
- Monitoring test for stability of copula parameter in time series
- A stochastic recurrence equations approach for score driven correlation models
- Risk analysis in the brazilian stock market: copula-APARCH modeling for value-at-risk
- Python for unified research in econometrics and statistics
- A survey on time-varying copulas: specification, simulations, and application
- scientific article; zbMATH DE number 7246952 (Why is no real title available?)
- Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
- scientific article; zbMATH DE number 7295850 (Why is no real title available?)
- Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas
- Bivariate tail dependence and the generation of multivariate extreme value distributions
- Vine copula specifications for stationary multivariate Markov chains
- Time-varying copula models for financial time series
- Zero-inflated count time series models using Gaussian copula
- scientific article; zbMATH DE number 6448037 (Why is no real title available?)
- Evolution of copulas in discrete processes with application to a numerical modeling of dependence relation between exchange rates
- A copula-based model of speculative price dynamics in discrete time
- Exploring the copula approach for the analysis of financial durations
- Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns
- The design of multiple crop insurance in Indonesia based on revenue risk using the copula model approach
- Copula-based Markov zero-inflated count time series models with application
- scientific article; zbMATH DE number 7660127 (Why is no real title available?)
- Out-of-sample comparison of copula specifications in multivariate density forecasts
- A generalization of Archimedean and Marshall-Olkin copulas family
- Financial dependence analysis: applications of vine copulas
- On spatial contagion and multivariate GARCH models
- Efficient MCMC estimation of some elliptical copula regression models through scale mixtures of normals
- Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
- Mixed Marginal Copula Modeling
- Transformation-Kernel Estimation of Copula Densities
- Visualization and Assessment of Copula Symmetry
- On extension of 2-copulas for information fusion
- A copula entropy approach to correlation measurement at the country level
- A Nonparametric Bayesian Estimator of Copula Density with Applications to Financial Market
- Copula based multivariate semi-Markov models with applications in high-frequency finance
- Multi-period pricing of data breach catastrophe bonds: A hybrid triggers and LSTM framework
- High dimensional dynamic stochastic copula models
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