Time-dependent copulas
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 28046 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 837911 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A consistent nonparametric test for nonlinear causality -- specification in time series regression
- A probabilistic interpretation of complete monotonicity
- An empirical central limit theorem with applications to copulas under weak dependence
- An introduction to copulas. Properties and applications
- Bivariate option pricing using dynamic copula models
- COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
- Convergence of stochastic processes
- Copulas and Markov processes
- Copulas and temporal dependence
- Copulas: A Review and Recent Developments
- Copula–Based Models for Financial Time Series
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- 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
- Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Nonparametric Test for Causality with Long-range Dependence
- Risk management: Value at risk and beyond
- The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
Cited in
(28)- About tests of the ``simplifying assumption for conditional copulas
- Estimating non-simplified vine copulas using penalized splines
- Sparse M-estimators in semi-parametric copula models
- A classification point-of-view about conditional Kendall's tau
- Copulas and temporal dependence
- Modified Gaussian pseudo-copula: applications in insurance and finance
- Single-index copulas
- On the evolution of copulas
- Distortion representations of multivariate distributions
- On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
- Types of dependence and time-dependent association between two lifetimes in single parameter copula models
- Generalized additive models for conditional dependence structures
- On the control of the difference between two Brownian motions: a dynamic copula approach
- Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
- Asymptotic total variation tests for copulas
- Parametric estimation of conditional Archimedean copula generators for censored data
- Copula modeling from Abe Sklar to the present day
- The partial copula: properties and associated dependence measures
- Evolution of copulas in discrete processes with application to a numerical modeling of dependence relation between exchange rates
- A modified pseudo-copula regression model for risk groups with various dependency levels
- A review of copula models for economic time series
- Time-varying extreme value dependence with application to leading European stock markets
- Testing for equality between conditional copulas given discretized conditioning events
- Copula-based dynamic models for multivariate time series
- Copula-based semiparametric models for multivariate time series
- Conditional empirical copula processes and generalized measures of association
- Bivariate copula additive models for location, scale and shape
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