Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
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Cites work
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- Dependence structures for multivariate high-frequency data in finance
- Diversified portfolios with jumps in a benchmark framework
- Efficient Estimation of Semiparametric Multivariate Copula Models
- Elliptical copulas: Applicability and limitations.
- Empirical evidence on Student-t log-returns of diversified world stock indices
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Estimation of copula-based semiparametric time series models
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Multivariate extremes, aggregation and dependence in elliptical distributions
- Parametric families of multivariate distributions with given margins
- Portfolio management with stable distributions
- Simulating from Exchangeable Archimedean Copulas
- Stable Paretian models in finance
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Stochastic finance. An introduction in discrete time
- The meta-elliptical distributions with given marginals
- The theory and applications of statistical inference functions
Cited in
(4)- Modelling co-movements and tail dependency in the international stock market via copulae
- Predictive inference for bivariate data: combining nonparametric predictive inference for marginals with an estimated copula
- Multidimensional copula models for parallel development of the US bond market indices
- Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
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