메뉴 건너뛰기




Volumn 94, Issue 2, 2012, Pages 607-620

The role of copulas in the housing crisis

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84862019816     PISSN: 00346535     EISSN: 15309142     Source Type: Journal    
DOI: 10.1162/REST_a_00172     Document Type: Article
Times cited : (67)

References (52)
  • 1
    • 0037276441 scopus 로고    scopus 로고
    • Bubbles and Crashes
    • Abreu, Dilip, and Markus K. Brunnermeier, "Bubbles and Crashes," Econometrica 71 (2003), 173-204.
    • (2003) Econometrica , vol.71 , pp. 173-204
    • Abreu, D.1    Brunnermeier, M.K.2
  • 2
    • 84992815904 scopus 로고    scopus 로고
    • Modelling Financial Instability
    • Allen, Franklin, "Modelling Financial Instability," National Institute Economic Review 192 (2005), 57-67.
    • (2005) National Institute Economic Review , vol.192 , pp. 57-67
    • Allen, F.1
  • 4
    • 0345016956 scopus 로고    scopus 로고
    • Dependence Structure and Risk Measure
    • Ane, Thierry, and Cecile Kharoubi, "Dependence Structure and Risk Measure," Journal of Business 76 (2003), 411-438.
    • (2003) Journal of Business , vol.76 , pp. 411-438
    • Ane, T.1    Kharoubi, C.2
  • 6
    • 42449156579 scopus 로고
    • Generalized Autoregressive Conditional Heteroscedasticity
    • Bollerslev, Tim, "Generalized Autoregressive Conditional Heteroscedasticity," Journal of Econometrics 31 (1986), 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 7
    • 0030726245 scopus 로고    scopus 로고
    • Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes
    • Borenstein, Severin, A. Colin Cameron, and Richard Gilbert, "Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?" Quarterly Journal of Economics 112 (1997), 305-339.
    • (1997) Quarterly Journal of Economics , vol.112 , pp. 305-339
    • Borenstein, S.A.1    Cameron, C.2    Gilbert, R.3
  • 9
    • 84982371477 scopus 로고
    • Testing for Autocorrelation in Dynamic Linear Models
    • Breusch, Trevor, "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers 17 (1978), 334-355.
    • (1978) Australian Economic Papers , vol.17 , pp. 334-355
    • Breusch, T.1
  • 11
    • 79952414744 scopus 로고    scopus 로고
    • Residential Real Estate Price Indexes as Financial Soundness Indicators: Methodological Issues
    • Case, Bradford, and Susan Wachter, "Residential Real Estate Price Indexes as Financial Soundness Indicators: Methodological Issues," Bank for International Settlements working paper no. 21 (2003).
    • (2003) Bank for International Settlements working , pp. 21
    • Case, B.1    Wachter, S.2
  • 12
    • 0024569535 scopus 로고
    • The Efficiency of the Market for Single- Family Homes
    • Case, Karl E., and Robert J. Shiller, "The Efficiency of the Market for Single- Family Homes," American Economic Review 79 (1989), 125-137.
    • (1989) American Economic Review , vol.79 , pp. 125-137
    • Case, K.E.1    Shiller, R.J.2
  • 13
    • 33748595542 scopus 로고    scopus 로고
    • Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification
    • Chen, Xiaohong, and Yanqin Fan, "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Journal of Econometrics 135 (2006), 125-154.
    • (2006) Journal of Econometrics , vol.135 , pp. 125-154
    • Chen, X.1    Fan, Y.2
  • 14
    • 0017883262 scopus 로고
    • A Model for Association in Bivariate Life Tables and Its Application in Epidemiological Studies of Familial Tendency in Chronic Disease Incidence
    • Clayton, David G., "A Model for Association in Bivariate Life Tables and Its Application in Epidemiological Studies of Familial Tendency in Chronic Disease Incidence," Biometrika 65 (1978), 141-151.
    • (1978) Biometrika , vol.65 , pp. 141-151
    • Clayton, D.G.1
  • 15
    • 29544440587 scopus 로고    scopus 로고
    • Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
    • Corsetti, Giancarlo, Marcello Pericoli, and Massimo Sbracia, "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," Journal of International Money and Finance 24 (2005), 1177-1199.
    • (2005) Journal of International Money and Finance , vol.24 , pp. 1177-1199
    • Corsetti, G.1    Pericoli, M.2    Sbracia, M.3
  • 17
    • 21344445401 scopus 로고    scopus 로고
    • Excess Co-Movement in Commodity Prices Reconsidered
    • Deb, Partha, Pravin K. Trivedi, and Panayotis Varangis, "Excess Co- Movement in Commodity Prices Reconsidered," Journal of Applied Econometrics 11 (1996), 275-291.
    • (1996) Journal of Applied Econometrics , vol.11 , pp. 275-291
    • Deb, P.1    Trivedi, P.K.2    Varangis, P.3
  • 18
    • 0002101229 scopus 로고    scopus 로고
    • Correlation and Dependence in Risk Management: Properties and Pitfalls
    • Michael Dempster (Ed.), Cambridge: Cambridge University Press
    • Embrechts, Paul, Alexander McNeil, and Daniel Straumann, "Correlation and Dependence in Risk Management: Properties and Pitfalls," in Michael Dempster (Ed.), Risk Management: Value at Risk and Beyond (Cambridge: Cambridge University Press, 2002).
    • (2002) Risk Management: Value at Risk and Beyond
    • Embrechts, P.1    McNeil, A.2    Straumann, D.3
  • 19
    • 0003350474 scopus 로고    scopus 로고
    • No Contagion, Only Interdependence: Measuring Stock Market Comovements
    • Forbes, Kristin J., and Roberto Rigobon, "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance 57 (2002), 2223-2261.
    • (2002) Journal of Finance , vol.57 , pp. 2223-2261
    • Forbes, K.J.1    Rigobon, R.2
  • 20
    • 84874344869 scopus 로고    scopus 로고
    • National, Regional and Metro-Specific Factors on the U.S. Housing Market
    • Fu, Dong, "National, Regional and Metro-Specific Factors on the U.S. Housing Market," Federal Reserve Bank of Dallas working paper (2007).
    • (2007) Federal Reserve Bank of Dallas working paper
    • Fu, D.1
  • 21
    • 84936112669 scopus 로고
    • Statistical Inference Procedures for Bivariate Archimedean Copulas
    • Genest, Christian, and Louis-Paul Rivest, "Statistical Inference Procedures for Bivariate Archimedean Copulas," Journal of the American Statistical Association 88 (1993), 1034-1043.
    • (1993) Journal of the American Statistical Association , vol.88 , pp. 1034-1043
    • Genest, C.1    Rivest, L.-P.2
  • 22
    • 0000681385 scopus 로고
    • Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables
    • Godfrey, Leslie G., "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica 46 (1978), 1293-1302.
    • (1978) Econometrica , vol.46 , pp. 1293-1302
    • Godfrey, L.G.1
  • 23
    • 33748065484 scopus 로고
    • Spurious Regressions in Econometrics
    • Granger, Clive, and Paul Newbold, "Spurious Regressions in Econometrics," Journal of Econometrics 2 (1974), 111-120.
    • (1974) Journal of Econometrics , vol.2 , pp. 111-120
    • Granger, C.1    Newbold, P.2
  • 24
    • 0001133150 scopus 로고
    • Distributions des valeurs extremes en plusieurs dimensions
    • Gumbel, Emil J., "Distributions des valeurs extremes en plusieurs dimensions," Publ. Inst. Statist. Univ. Paris 9 (1960), 171-173.
    • (1960) Publ. Inst. Statist. Univ. Paris , vol.9 , pp. 171-173
    • Gumbel, E.J.1
  • 25
    • 0037273761 scopus 로고    scopus 로고
    • Inference in ARCH and GARCH Models with Heavy-Tailed Errors
    • Hall, Peter, and Qiwei Yao, "Inference in ARCH and GARCH Models with Heavy-Tailed Errors," Econometrica 71 (2003), 285-317.
    • (2003) Econometrica , vol.71 , pp. 285-317
    • Hall, P.1    Yao, Q.2
  • 30
    • 0002875853 scopus 로고    scopus 로고
    • On Default Correlation:ACopula Function Approach
    • Li, David, "On Default Correlation:ACopula Function Approach," Journal of Fixed Income 9 (2000), 43-54.
    • (2000) Journal of Fixed Income , vol.9 , pp. 43-54
    • Li, D.1
  • 31
    • 33847416633 scopus 로고    scopus 로고
    • Conditional Properties of Hedge Funds: Evidence from Daily Returns
    • Li, Ying, and Hossein Kazemi, "Conditional Properties of Hedge Funds: Evidence from Daily Returns," European Financial Management 13 (2007), 211-238.
    • (2007) European Financial Management , vol.13 , pp. 211-238
    • Li, Y.1    Kazemi, H.2
  • 32
    • 0000015564 scopus 로고
    • Herd Behaviour, Bubbles and Crashes
    • Lux, Thomas, "Herd Behaviour, Bubbles and Crashes," Economic Journal 105 (1995), 881-896.
    • (1995) Economic Journal , vol.105 , pp. 881-896
    • Lux, T.1
  • 38
    • 33645716201 scopus 로고    scopus 로고
    • Modelling Asymmetric Exchange Rate Dependence
    • Patton, Andrew, Modelling Asymmetric Exchange Rate Dependence," International Economic Review 47 (2006), 527-556.
    • (2006) International Economic Review , vol.47 , pp. 527-556
    • Patton, A.1
  • 40
    • 0346955658 scopus 로고    scopus 로고
    • The Impact of Bootstrap Methods on Time Series Analysis
    • Politis, Dimitris N., "The Impact of Bootstrap Methods on Time Series Analysis," Statistical Science 18 (2003), 219-230.
    • (2003) Statistical Science , vol.18 , pp. 219-230
    • Politis, D.N.1
  • 41
    • 23944508775 scopus 로고    scopus 로고
    • Oil Price Volatility and the Asymmetric Response of Gasoline Prices to Oil Price Increases and Decreases
    • Radchenko, Stanislav, "Oil Price Volatility and the Asymmetric Response of Gasoline Prices to Oil Price Increases and Decreases," Energy Economics 27 (2005), 708-730.
    • (2005) Energy Economics , vol.27 , pp. 708-730
    • Radchenko, S.1
  • 42
    • 34247183283 scopus 로고    scopus 로고
    • Measuring Financial Contagion: A Copula Approach
    • Rodriguez, Juan Carlos, "Measuring Financial Contagion: A Copula Approach," Journal of Empirical Finance 14 (2007), 401-423.
    • (2007) Journal of Empirical Finance , vol.14 , pp. 401-423
    • Rodriguez, J.C.1
  • 45
    • 0000644480 scopus 로고
    • Random Variables, Joint Distributions, and Copulas
    • Sklar, Abe, "Random Variables, Joint Distributions, and Copulas," Kybernetica 9 (1973), 449-460.
    • (1973) Kybernetica , vol.9 , pp. 449-460
    • Sklar, A.1
  • 47
    • 0000680849 scopus 로고
    • Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion
    • Topol, Richard, "Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion," Economic Journal 101 (1991), 786-800.
    • (1991) Economic Journal , vol.101 , pp. 786-800
    • Topol, R.1
  • 49
    • 58149127824 scopus 로고    scopus 로고
    • Pairwise Likelihood Inference for General State Space Models
    • Varin, Cristiano, and Paolo Vidoni, "Pairwise Likelihood Inference for General State Space Models," Econometric Reviews 28 (2009), 170-185.
    • (2009) Econometric Reviews , vol.28 , pp. 170-185
    • Varin, C.1    Vidoni, P.2
  • 50
    • 0000646447 scopus 로고
    • Likelihood Ratio Tests for Model Selection and Non- Nested Hypotheses
    • Vuong, Quang H., "Likelihood Ratio Tests for Model Selection and Non- Nested Hypotheses," Econometrica 57 (1989), 307-333.
    • (1989) Econometrica , vol.57 , pp. 307-333
    • Vuong, Q.H.1
  • 51
    • 30744440055 scopus 로고    scopus 로고
    • Using Trivariate Copulas to Model Sample Selection and Treatment Effects: Application to Family Health Care Demand
    • Zimmer, David M., and Pravin K. Trivedi, "Using Trivariate Copulas to Model Sample Selection and Treatment Effects: Application to Family Health Care Demand," Journal of Business and Economic Statistics 24 (2006), 63-76.
    • (2006) Journal of Business and Economic Statistics , vol.24 , pp. 63-76
    • Zimmer D.M.Trivedi, P.K.1
  • 52
    • 78649486084 scopus 로고    scopus 로고
    • The Importance of Property Markets for Monetary Policy and Financial Stability
    • Zhu, Haibin, "The Importance of Property Markets for Monetary Policy and Financial Stability," Bank for International Settlements working paper no. 21 (2003).
    • (2003) Bank for International Settlements working , pp. 21
    • Zhu, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.