Cites work
- A review of copula models for economic time series
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Constrained Indirect Estimation
- Diagnostic testing and evaluation of maximum likelihood models
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Empirically relevant critical values for hypothesis tests: A bootstrap approach
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Estimation of copula-based semiparametric time series models
- Goodness-of-fit tests for copulas
- Goodness-of-fit tests for copulas: A review and a power study
- Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
- Local power analysis of goodness-of-fit tests for copulas
- Maximum Likelihood Specification Testing and Conditional Moment Tests
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
- Multivariate T-Distributions and Their Applications
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Specification testing when score test statistics are identically zero
- Testing the Gaussian copula hypothesis for financial assets dependences
- Testing When a Parameter is on the Boundary of the Maintained Hypothesis
- The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
- The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
Cited in
(5)- Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
- Dealing With Endogeneity in Threshold Models Using Copulas
- Specification tests for non-Gaussian structural vector autoregressions
- Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule
- Mode-adaptive factor models
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