A review of copula models for economic time series
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cited in
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- Measuring extreme risk dependence between the oil and gas markets
- Calibration estimation of semiparametric copula models with data missing at random
- Subsampling (weighted smooth) empirical copula processes
- Forecasting time series with multivariate copulas
- Detection of block-exchangeable structure in large-scale correlation matrices
- The shifting dependence dynamics between the G7 stock markets
- Modelling financial time series using reflections of copulas
- Unfolded GARCH models
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
- An economic evaluation of stock-bond return comovements with copula-based GARCH models
- Copula-based time series with filtered nonstationarity
- Modeling spot price dependence in Australian electricity markets with applications to risk management
- Wavelet estimation of copulas for time series
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Vine copula specifications for stationary multivariate Markov chains
- Time-varying copula models for financial time series
- Copulae: on the crossroads of mathematics and economics. Abstracts from the workshop held April 12--18, 2015
- Copulas, diagonals, and tail dependence
- Minimum Hellinger distance estimation for bivariate samples and time series with applications to nonlinear regression and copula-based models
- Wavelet estimation of copula density via thresholding methods under censoring
- A new family of Archimedean copulas: the truncated-Poisson family of copulas
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- Copula estimation through wavelets
- Time series with infinite-order partial copula dependence
- Single-index copulas
- On the dynamic dependence and asymmetric co-movement between the US and central and eastern European transition markets
- Multinomial choice models based on Archimedean copulas
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- Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
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- Clustering of financial time series in risky scenarios
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- Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach
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- Network interdependence and optimization of bank portfolios from developed and emerging Asia Pacific countries
- An application of copulas to OPEC’s changing influence on fossil fuel prices
- Inference for accelerated bivariate dependent competing risks model based on Archimedean copulas under progressive censoring
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