The t Copula and Related Copulas
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Clayton copulacopulaGumbel copulaKendall's rank correlationmultivariate \(t\)-distributionmultivariate extreme value theorytail dependence
Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)
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Cites work
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An introduction to copulas. Properties and applications
- Dependence measures for extreme value analyses
- Domains of attraction of multivariate extreme-value distributions
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 3820920 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 1454116 (Why is no real title available?)
- scientific article; zbMATH DE number 3354336 (Why is no real title available?)
- Multivariate extremes, aggregation and dependence in elliptical distributions
- Ordinal Measures of Association
- Regularly varying functions
- Statistical Methods for Multivariate Extremes: An Application to Structural Design
- Tail dependence for elliptically contoured distributions
- Tail dependence from a distributional point of view
- The meta-elliptical distributions with given marginals
- Transformation of non positive semidefinite correlation matrices
Cited in
(only showing first 100 items - show all)- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- A goodness of fit test for copulas based on Rosenblatt's transformation
- The dominance relation in some families of continuous Archimedean t-norms and copulas
- On non-central squared copulas
- The determinants of CDS spreads: evidence from the model space
- Estimation of risk measures in energy portfolios using modern copula techniques
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Analysis of dynamic correlation of Japanese stock returns with network clustering
- Asymmetry in tail dependence in equity portfolios
- Multivariate models for dependent clusters of variables with conditional independence given aggregation variables
- Objective priors for the number of degrees of freedom of a multivariate t distribution and the t-copula
- Multivariate extreme value copulas with factor and tree dependence structures
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- A Stein type lemma for the multivariate generalized hyperbolic distribution
- Skew \(t\) distributions via the sinh-arcsinh transformation
- Copulas, uncertainty, and false discovery rate control
- ABC model selection for spatial extremes models applied to south Australian maximum temperature data
- Unsupervised data classification using pairwise Markov chains with automatic copulas selection
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Bayesian model choice of grouped t-copula
- A theoretical argument why the \(t\)-copula explains credit risk contagion better than the Gaussian copula
- Maximum likelihood estimation of high-dimensional Student-\(t\) copulas
- Pricing basket default swaps using quasi-analytic techniques
- Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
- A note on the smoothness of densities
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models
- Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- Hedging effectiveness of currency ETFs against WTI crude oil price fluctuations
- Accounting for endogeneity in regression models using copulas: a step-by-step guide for empirical studies
- On the use of random forest for two-sample testing
- t-copula from the viewpoint of tail dependence matrices
- A generalized error distribution copula-based method for portfolios risk assessment
- Estimation of multivariate dependence structures via constrained maximum likelihood
- Asymmetric tail dependence modeling, with application to cryptocurrency market data
- A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
- A comparison of tail dependence estimators
- Structural change in the link between oil and the European stock market: implications for risk management
- On the quantification and efficient propagation of imprecise probabilities with copula dependence
- Time evolutions of copulas and foreign exchange markets
- Bayesian estimation of Archimedean copula-based SUR quantile models
- A time-varying multivariate noncentral contaminated normal copula model and its application to the visualized dependence analysis of Hong Kong stock markets
- Conditional normal extreme-value copulas
- Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
- Estimating high-resolution red sea surface temperature hotspots, using a low-rank semiparametric spatial model
- Crisis and risk dependencies
- Copulas from the Fokker-Planck equation
- Tails of correlation mixtures of elliptical copulas
- A mixture of coalesced generalized hyperbolic distributions
- Ordering risk bounds in factor models
- Implicit copulas from Bayesian regularized regression smoothers
- Bayesian design of experiments for intractable likelihood models using coupled auxiliary models and multivariate emulation
- Semiparametric bivariate modelling with flexible extremal dependence
- Validation of association
- Bias correction in multivariate extremes
- Structured factor copula models: theory, inference and computation
- Conditional quantiles and tail dependence
- Periodic portfolio revision with transaction costs
- Hidden truncation hyperbolic distributions, finite mixtures thereof, and their application for clustering
- Efficient randomized quasi-Monte Carlo methods for portfolio market risk
- Automated variable selection in vector multiplicative error models
- Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects
- Modified Gaussian pseudo-copula: applications in insurance and finance
- A flexible parametric approach for estimating switching regime models and treatment effect parameters
- On the extremal dependence coefficient of multivariate distributions
- Duality between matrix variate \(t\) and matrix variate V.G. distributions
- Modeling multivariate extreme events using self-exciting point processes
- Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
- Moments of the generalized hyperbolic distribution
- Recognizing and visualizing copulas: an approach using local Gaussian approximation
- Validation of positive quadrant dependence
- Likelihood estimators for multivariate extremes
- Regional air quality conformity in transportation networks with stochastic dependencies: a theoretical copula-based model
- Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas
- Long memory estimation in a non-Gaussian bivariate process
- A concept of copula robustness and its applications in quantitative risk management
- Dependence modeling of frequency-severity of insurance claims using waiting time
- On tail dependence for Grubbs' copula-function
- A non-linear forecast combination procedure for binary outcomes
- Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
- Construction of leading economic index for recession prediction using vine copulas
- Estimation of copula-based semiparametric time series models
- On bivariate transformation of scale distributions
- Bridging conditional and marginal inference for spatially referenced binary data
- Invariant dependence structure under univariate truncation
- The joint distribution of stock returns is not elliptical
- Multivariate heavy-tailed models for value-at-risk estimation
- Monotonicity of the tail dependence for multivariate \(t\)-copula
- The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
- The valuation of the basket CDS in a primary-subsidiary model
- Bayesian model selection for D-vine pair-copula constructions
- Limit laws of the empirical Wasserstein distance: Gaussian distributions
- GSH dependence modeling with an application to risk management
- Tail dependence and skew distributions
- An order of asymmetry in copulas, and implications for risk management
- The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
- Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables
- Dependence structure of market states
- A flexible and tractable class of one-factor copulas
- scientific article; zbMATH DE number 5115637 (Why is no real title available?)
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