Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
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- A Reality Check for Data Snooping
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- Optimal forecast combinations under general loss functions and forecast error distributions
- Predictive density and conditional confidence interval accuracy tests
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Tests of Conditional Predictive Ability
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Cited in
(only showing first 100 items - show all)- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- Vector copulas
- Construction of leading economic index for recession prediction using vine copulas
- On the structure and estimation of hierarchical Archimedean copulas
- Testing and dating structural changes in copula-based dependence measures
- A copula-based Markov chain model for serially dependent event times with a dependent terminal event
- Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
- A new class of copulas involved geometric distribution: estimation and applications
- Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction
- Dynamic copulas for monotonic dependence change in time series
- Hidden Markov structures for dynamic copulae
- Estimation and inference in factor copula models with exogenous covariates
- A spatial contagion test for financial markets
- A survey on time-varying copulas: specification, simulations, and application
- Estimation and model selection of semiparametric multivariate survival functions under general censorship
- Estimation of Copulas via Maximum Mean Discrepancy
- Portfolio selection with commodities under conditional copulas and skew preferences
- World commodity prices and economic activity in advanced and emerging economies
- Fitting high-dimensional copulae to data
- Modeling Dependence in High Dimensions With Factor Copulas
- Is a Normal Copula the Right Copula?
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Statistical inference for multivariate residual copula of GARCH models
- Variational inference for high dimensional structured factor copulas
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- Modeling maxima with autoregressive conditional Fréchet model
- Sparse M-estimators in semi-parametric copula models
- Generalized predictive information criteria for the analysis of feature events
- Empirical likelihood based confidence intervals for copulas
- Distorted mix method for constructing copulas with tail dependence
- Copula density estimation by finite mixture of parametric copula densities
- Copula-based time series with filtered nonstationarity
- A diagnostic test for specification of copulas under censorship
- Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
- Rank-based inference tools for copula regression, with property and casualty insurance applications
- Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
- A goodness-of-fit test for copulas
- Generalized information matrix tests for copulas
- Estimation and inference for dependence in multivariate data
- Parametric copula adjusted for non- and semiparametric regression
- Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
- A copula approach for dependence modeling in multivariate nonparametric time series
- Sequential conditional correlations: inference and evaluation
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Copula-based tests for cross-sectional independence in panel models
- A goodness-of-fit test for copulas based on martingale transformation
- Estimating the error distribution in multivariate heteroscedastic time-series models
- Jackknife empirical likelihood method for copulas
- Truncated regular vines in high dimensions with application to financial data
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
- Bayesian model selection for D-vine pair-copula constructions
- Time-varying copula models for financial time series
- Copulae: an overview and recent developments
- Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
- Randomization tests of copula symmetry
- Generalized runs tests for the IID hypothesis
- Semi- and nonparametric ARCH processes
- Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
- Clustering of financial time series in risky scenarios
- The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
- Robust approach for blind separation of noisy mixtures of independent and dependent sources
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
- HMM and HAC
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Change point detection in SCOMDY models
- Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
- Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models
- Transformation-Kernel Estimation of Copula Densities
- Pair-copula constructions of multiple dependence
- Goodness-of-fit test for specification of semiparametric copula dependence models
- Managing risk with a realized copula parameter
- On testing for independence between the innovations of several time series
- Partial identification and inference in censored quantile regression
- A model selection test for bivariate failure-time data
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- Efficient maximum likelihood estimation of copula based meta \(t\)-distributions
- Semiparametric bivariate Archimedean copulas
- Change point detection in copula ARMA-GARCH models
- Copula modeling from Abe Sklar to the present day
- Detecting financial data dependence structure by averaging mixture copulas
- Information matrix equivalence in the presence of censoring: a goodness-of-fit test for semiparametric copula models with multivariate survival data
- Monitoring test for stability of copula parameter in time series
- Copula approaches for modeling cross-sectional dependence of data breach losses
- Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
- Exponential series estimator of multivariate densities
- M-vine decomposition and VAR(1) models
- Time-Varying Mixture Copula Models with Copula Selection
- Out-of-sample comparison of copula specifications in multivariate density forecasts
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects
- Stationary vine copula models for multivariate time series
- Volatility and dependence in cryptocurrency and financial markets: a copula approach
- Multivariate composite copulas
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models
- The partial copula: properties and associated dependence measures
- Copula-based regression models: a survey
- Efficient estimation of a semiparametric dynamic copula model
- A review of copula models for economic time series
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