-
1
-
-
63649120808
-
Pair-copula constructions of multiple dependence
-
Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009). Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44(2), 182–198.
-
(2009)
Insurance: Mathematics and Economics
, vol.44
, Issue.2
, pp. 182-198
-
-
Aas, K.1
Czado, C.2
Frigessi, A.3
Bakken, H.4
-
3
-
-
84857647120
-
Efficient Bayesian inference for stochastic time-varying copula models
-
Almeida, C. and C. Czado (2012). Efficient Bayesian inference for stochastic time-varying copula models. Computational Statistics & Data Analysis 56(6), 1511–1527.
-
(2012)
Computational Statistics & Data Analysis
, vol.56
, Issue.6
, pp. 1511-1527
-
-
Almeida, C.1
Czado, C.2
-
4
-
-
0036353532
-
International asset allocation with regime shifts
-
Ang, A. and G. Bekaert (2002). International asset allocation with regime shifts. Review of Financial Studies 15(4), 1137–1187.
-
(2002)
Review of Financial Studies
, vol.15
, Issue.4
, pp. 1137-1187
-
-
Ang, A.1
Bekaert, G.2
-
6
-
-
33644805548
-
Multivariate GARCH models: A survey
-
Bauwens, L., S. Laurent, and J. V. K. Rombouts (2006). Multivariate GARCH models: A survey. Journal of Applied Econometrics 21(1), 79–109.
-
(2006)
Journal of Applied Econometrics
, vol.21
, Issue.1
, pp. 79-109
-
-
Bauwens, L.1
Laurent, S.2
Rombouts, J.V.K.3
-
7
-
-
0035603369
-
Probability density decomposition for conditionally dependent random variables modeled by vines
-
Bedford, T. and R. M. Cooke (2001). Probability density decomposition for conditionally dependent random variables modeled by vines. Annals of Mathematics and Artificial intelligence 32, 245–268.
-
(2001)
Annals of Mathematics and Artificial intelligence
, vol.32
, pp. 245-268
-
-
Bedford, T.1
Cooke, R.M.2
-
8
-
-
0036392207
-
Vines - a new graphical model for dependent random variables
-
Bedford, T. and R. M. Cooke (2002). Vines - a new graphical model for dependent random variables. Annals of Statistics 30, 1031–1068.
-
(2002)
Annals of Statistics
, vol.30
, pp. 1031-1068
-
-
Bedford, T.1
Cooke, R.M.2
-
9
-
-
68949159313
-
Copula goodness-of-fit testing: An overview and power comparison
-
Berg, D. (2009). Copula goodness-of-fit testing: An overview and power comparison. The European Journal of Finance 15(7), 675–701.
-
(2009)
The European Journal of Finance
, vol.15
, Issue.7
, pp. 675-701
-
-
Berg, D.1
-
10
-
-
77249134143
-
Models for construction of higher-dimensional dependence: A comparison study
-
Berg, D. and K. Aas (2009). Models for construction of higher-dimensional dependence: A comparison study. European Journal of Finance 15, 639–659.
-
(2009)
European Journal of Finance
, vol.15
, pp. 639-659
-
-
Berg, D.1
Aas, K.2
-
11
-
-
42449156579
-
Generalized autogressive conditional heteroskedasticity
-
Bollerslev, T. (1986). Generalized autogressive conditional heteroskedasticity. Journal of Econometrics 31, 307–327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
13
-
-
84856920894
-
Truncated regular vines in high dimensions with applications to financial data
-
Brechmann, E. C., C. Czado, and K. Aas (2012). Truncated regular vines in high dimensions with applications to financial data. Canadian Journal of Statistics 40(1), 68–85.
-
(2012)
Canadian Journal of Statistics
, vol.40
, Issue.1
, pp. 68-85
-
-
Brechmann, E.C.1
Czado, C.2
Aas, K.3
-
14
-
-
0346125288
-
Dependence structures for multivariate high-frequency data in finance
-
Breymann, W., A. Dias, and P. Embrechts (2003). Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 1, 1–14.
-
(2003)
Quantitative Finance
, vol.1
, pp. 1-14
-
-
Breymann, W.1
Dias, A.2
Embrechts, P.3
-
15
-
-
79954577672
-
A review of backtesting and backtesting procedures
-
Campbell, S. D. (2007). A review of backtesting and backtesting procedures. Journal of Risk 9(2), 1–18.
-
(2007)
Journal of Risk
, vol.9
, Issue.2
, pp. 1-18
-
-
Campbell, S.D.1
-
16
-
-
79954590768
-
Backtesting Value-at-Risk: A GMM duration-based test
-
Candelon, B., G. Colletaz, C. Hurlin, and S. Tokpavi (2011). Backtesting Value-at-Risk: A GMM duration-based test. Journal of Financial Econometrics 9(2), 314–343.
-
(2011)
Journal of Financial Econometrics
, vol.9
, Issue.2
, pp. 314-343
-
-
Candelon, B.1
Colletaz, G.2
Hurlin, C.3
Tokpavi, S.4
-
20
-
-
84875106322
-
Selection of vine copulas
-
In P. Jaworski, F. Durante, and W. Hrdle (Eds.) Berlin: Springer
-
Czado, C., E. C. Brechmann, and L. Gruber (2013). Selection of vine copulas. In P. Jaworski, F. Durante, and W. Hrdle (Eds.), Copulae in Mathematical and Quantitative Finance, Lecture Notes in Statistics - Proceedings. Berlin: Springer.
-
(2013)
Copulae in Mathematical and Quantitative Finance, Lecture Notes in Statistics - Proceedings
-
-
Czado, C.1
Brechmann, E.C.2
Gruber, L.3
-
21
-
-
84861767343
-
Maximum likelihood estimation of mixed C-vines with application to exchange rates
-
Czado, C., U. Schepsmeier, and A. Min (2012). Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling 12(3), 229–255.
-
(2012)
Statistical Modelling
, vol.12
, Issue.3
, pp. 229-255
-
-
Czado, C.1
Schepsmeier, U.2
Min, A.3
-
22
-
-
84870062184
-
Selecting and estimating regular vine copulae and application to financial returns
-
Diβmann, J., E. C. Brechmann, C. Czado, and D. Kurowicka (2013). Selecting and estimating regular vine copulae and application to financial returns. Computational Statistics & Data Analysis 59, 52–69.
-
(2013)
Computational Statistics & Data Analysis
, vol.59
, pp. 52-69
-
-
Diβmann, J.1
Brechmann, E.C.2
Czado, C.3
Kurowicka, D.4
-
24
-
-
0002101229
-
Correlation and dependence in risk management: properties and pitfalls
-
In M. A. H. Dempster (Ed.) Cambridge: Cambridge University Press
-
Embrechts, P., A. McNeil, and D. Straumann (2002). Correlation and dependence in risk management: properties and pitfalls. In M. A. H. Dempster (Ed.), Risk Management: Value at Risk and Beyond. Cambridge: Cambridge University Press.
-
(2002)
Risk Management: Value at Risk and Beyond
-
-
Embrechts, P.1
McNeil, A.2
Straumann, D.3
-
25
-
-
0000051984
-
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
-
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50(4), 987–1007.
-
(1982)
Econometrica
, vol.50
, Issue.4
, pp. 987-1007
-
-
Engle, R.F.1
-
27
-
-
84977737676
-
The cross-section of expected stock returns
-
Fama, E. F. and K. R. French (1992). The cross-section of expected stock returns. Journal of Finance 47(2), 427–465.
-
(1992)
Journal of Finance
, vol.47
, Issue.2
, pp. 427-465
-
-
Fama, E.F.1
French, K.R.2
-
28
-
-
78649323809
-
An empirical analysis of multivariate copula models
-
Fischer, M., C. Köck, S. Schlüter, and F. Weigert (2009). An empirical analysis of multivariate copula models. Quantitative Finance 9(7), 839–854.
-
(2009)
Quantitative Finance
, vol.9
, Issue.7
, pp. 839-854
-
-
Fischer, M.1
Köck, C.2
Schlüter, S.3
Weigert, F.4
-
29
-
-
34347377353
-
Everything you always wanted to know about copula modeling but were afraid to ask
-
Genest, C. and A.-C. Favre (2007). Everything you always wanted to know about copula modeling but were afraid to ask. Journal of Hydrologic Engineering 12, 347–368.
-
(2007)
Journal of Hydrologic Engineering
, vol.12
, pp. 347-368
-
-
Genest, C.1
Favre, A.-C.2
-
31
-
-
84862011934
-
Asymmetric CAPM dependence for large dimensions: the canonical vine autoregressive model
-
Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
-
Heinen, A. and A. Valdesogo (2009). Asymmetric CAPM dependence for large dimensions: the canonical vine autoregressive model. CORE Discussion Papers 2009069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
-
(2009)
CORE Discussion Papers 2009069
-
-
Heinen, A.1
Valdesogo, A.2
-
32
-
-
84938909934
-
Portfolio management under asymmetric dependence and distribution
-
Faculty of Econometrics, University of Magdeburg
-
Hlawatsch, S. and P. Reichling (2010). Portfolio management under asymmetric dependence and distribution. Working Paper No. 17/2010, Faculty of Econometrics, University of Magdeburg.
-
(2010)
Working Paper No. 17/2010
-
-
Hlawatsch, S.1
Reichling, P.2
-
33
-
-
84862012452
-
Comparison of estimators for pair-copula constructions
-
Hobæk Haff, I. (2012). Comparison of estimators for pair-copula constructions. Journal of Multivariate Analysis 110, 91–105.
-
(2012)
Journal of Multivariate Analysis
, vol.110
, pp. 91-105
-
-
Hobæk Haff, I.1
-
34
-
-
84878135288
-
Parameter estimation for pair-copula constructions
-
Hobæk Haff, I. (2013). Parameter estimation for pair-copula constructions. Bernoulli 19(2), 462–491.
-
(2013)
Bernoulli
, vol.19
, Issue.2
, pp. 462-491
-
-
Hobæk Haff, I.1
-
35
-
-
77249111771
-
On the simplified pair-copula construction - simply useful or too simplistic?
-
Hobæk Haff, I., K. Aas, and A. Frigessi (2010).On the simplified pair-copula construction - simply useful or too simplistic? Journal of Multivariate Analysis 101(5), 1296–1310.
-
(2010)
Journal of Multivariate Analysis
, vol.101
, Issue.5
, pp. 1296-1310
-
-
Hobæk Haff, I.1
Aas, K.2
Frigessi, A.3
-
36
-
-
0041611622
-
Families of m-variate distributions with given margins and m(m - l)/2 bivariate dependence parameters
-
L. Rschendorf, B. Schweizer, and M. D. Taylor (Eds.) Hayward: Institute of Mathematical Statistics
-
Joe, H. (1996). Families of m-variate distributions with given margins and m(m - l)/2 bivariate dependence parameters. In L. Rschendorf, B. Schweizer, and M. D. Taylor (Eds.), Distributions with fixed marginals and related topics, pp. 120–141. Hayward: Institute of Mathematical Statistics.
-
(1996)
Distributions with fixed marginals and related topics
, pp. 120-141
-
-
Joe, H.1
-
38
-
-
18644380797
-
Asymptotic efficiency of the two-stage estimation method for copula-based models
-
Joe, H. (2005). Asymptotic efficiency of the two-stage estimation method for copula-based models. Journal of Multivariate Analysis 94,401–419.
-
(2005)
Journal of Multivariate Analysis
, vol.94
, pp. 401-419
-
-
Joe, H.1
-
39
-
-
70350133634
-
Tail dependence functions and vine copulas
-
Joe, H., H. Li, and A. K. Nikoloulopoulos (2010). Tail dependence functions and vine copulas. Journal of Multivariate Analysis 101(1), 252–270.
-
(2010)
Journal of Multivariate Analysis
, vol.101
, Issue.1
, pp. 252-270
-
-
Joe, H.1
Li, H.2
Nikoloulopoulos, A.K.3
-
40
-
-
0344707956
-
The estimation method of inference functions for margins for multivariate models
-
Department of Statistics, University of British Columbia
-
Joe, H. and J. J. Xu (1996). The estimation method of inference functions for margins for multivariate models. Technical Report 166, Department of Statistics, University of British Columbia.
-
(1996)
Technical Report 166
-
-
Joe, H.1
Xu, J.J.2
-
41
-
-
0001925391
-
Techniques for verifying the accuracy of risk measurement models
-
Kupiec, P. H. (1995). Techniques for verifying the accuracy of risk measurement models. The Journal of Derivatives 3(2), 73–84.
-
(1995)
The Journal of Derivatives
, vol.3
, Issue.2
, pp. 73-84
-
-
Kupiec, P.H.1
-
44
-
-
0003114587
-
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
-
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47 (1), 13–37.
-
(1965)
Review of Economics and Statistics
, vol.47
, Issue.1
, pp. 13-37
-
-
Lintner, J.1
-
45
-
-
61549108640
-
Efficient estimation of copula-GARCH models
-
Liu, Y. and R. Luger (2009). Efficient estimation of copula-GARCH models. Computational Statistics & Data Analysis 53(6), 2284–2297.
-
(2009)
Computational Statistics & Data Analysis
, vol.53
, Issue.6
, pp. 2284-2297
-
-
Liu, Y.1
Luger, R.2
-
46
-
-
0002525307
-
Is the correlation in international equity returns constant: 1960–1990?
-
Longin, F. and B. Solnik (1995). Is the correlation in international equity returns constant: 1960–1990? Journal of International Money and Finance 14, 3–26.
-
(1995)
Journal of International Money and Finance
, vol.14
, pp. 3-26
-
-
Longin, F.1
Solnik, B.2
-
47
-
-
0009662024
-
Extreme correlation of international equity markets
-
Longin, F. and B. Solnik (2001). Extreme correlation of international equity markets. Journal of Finance 56(2), 649–676.
-
(2001)
Journal of Finance
, vol.56
, Issue.2
, pp. 649-676
-
-
Longin, F.1
Solnik, B.2
-
48
-
-
0001504360
-
The variation in certain speculative prices
-
Mandelbrot, B. (1963). The variation in certain speculative prices. Journal of Business 36, 394–419.
-
(1963)
Journal of Business
, vol.36
, pp. 394-419
-
-
Mandelbrot, B.1
-
50
-
-
84995186518
-
Portfolio selection
-
Markowitz, H. M. (1952). Portfolio selection. Journal of Finance 7(1), 77–91.
-
(1952)
Journal of Finance
, vol.7
, Issue.1
, pp. 77-91
-
-
Markowitz, H.M.1
-
51
-
-
0345778282
-
Beyond correlation: Extreme co-movements between financial assets
-
Columbia University
-
Mashal, R. and A. Zeevi (2002). Beyond correlation: Extreme co-movements between financial assets. Working Paper, Columbia University.
-
(2002)
Working Paper
-
-
Mashal, R.1
Zeevi, A.2
-
52
-
-
77952099245
-
Pair-copulas modeling in finance
-
Mendes, B. V. D. M., M. M. Semeraro, and R. P. C. Leal (2010). Pair-copulas modeling in finance. Financial Markets and Portfolio Management 24(2), 193–213.
-
(2010)
Financial Markets and Portfolio Management
, vol.24
, Issue.2
, pp. 193-213
-
-
Mendes, B.V.D.M.1
Semeraro, M.M.2
Leal, R.P.C.3
-
53
-
-
77952090851
-
Bayesian inference for multivariate copulas using pair-copula constructions
-
Min, A. and C. Czado (2010). Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8(4), 511–546.
-
(2010)
Journal of Financial Econometrics
, vol.8
, Issue.4
, pp. 511-546
-
-
Min, A.1
Czado, C.2
-
54
-
-
85045334285
-
About the number of vines and regular vines on n nodes
-
Delft University of Technology
-
Morales-Nápoles, O., R. M. Cooke, and D. Kurowicka (2010). About the number of vines and regular vines on n nodes. Working Paper, Delft University of Technology.
-
(2010)
Working Paper
-
-
Morales-Nápoles, O.1
Cooke, R.M.2
Kurowicka, D.3
-
56
-
-
84862007826
-
Vine copulas with asymmetric tail dependence and applications to financial return data
-
Nikoloulopoulos, A. K., H. Joe, and H. Li (2012). Vine copulas with asymmetric tail dependence and applications to financial return data. Computational Statistics & Data Analysis 56(11), 3659–3673.
-
(2012)
Computational Statistics & Data Analysis
, vol.56
, Issue.11
, pp. 3659-3673
-
-
Nikoloulopoulos, A.K.1
Joe, H.2
Li, H.3
-
57
-
-
67650553041
-
Recipe for disaster: The formula that killed Wall Street
-
http://www.wired.com/techbiz/it/magazine/17–03/wp_quant
-
Salmon, F. (2009). Recipe for disaster: The formula that killed Wall Street. Wired Magazine 17(3), http://www.wired.com/techbiz/it/magazine/17–03/wp_quant.
-
(2009)
Wired Magazine
, vol.17
, Issue.3
-
-
Salmon, F.1
-
58
-
-
77949339034
-
Hierarchical Archimedean copulas
-
Savu, C. and M. Trede (2010). Hierarchical Archimedean copulas. Quantitative Finance 10, 295–304.
-
(2010)
Quantitative Finance
, vol.10
, pp. 295-304
-
-
Savu, C.1
Trede, M.2
-
59
-
-
84980092818
-
Capital asset prices: A theory of market equilibrium under conditions of risk
-
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19(3), 425–442.
-
(1964)
Journal of Finance
, vol.19
, Issue.3
, pp. 425-442
-
-
Sharpe, W.1
-
60
-
-
0012912862
-
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
-
NBER Working Paper Series
-
Sheppard, K. K. and R. F. Engle (2001). Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. Technical Report 8554, NBER Working Paper Series.
-
(2001)
Technical Report 8554
-
-
Sheppard, K.K.1
Engle, R.F.2
-
61
-
-
0000795592
-
-
Publications de l'Institut de Statistique de L'Université de Paris
-
Sklar, A. (1959). Fonctions de répartition à n dimensions et leurs marges. Publications de l'Institut de Statistique de L'Université de Paris 8, 229–231.
-
(1959)
Fonctions de répartition à n dimensions et leurs marges
, vol.8
, pp. 229-231
-
-
Sklar, A.1
-
62
-
-
85025272795
-
Simplified Pair Copula Constructions - Limits and Extensions
-
Technische Universität München
-
Stöber, J., H. Joe, and C. Czado (2012). Simplified Pair Copula Constructions - Limits and Extensions. Working Paper, Technische Universität München.
-
(2012)
Working Paper
-
-
Stöber, J.1
Joe, H.2
Czado, C.3
-
63
-
-
85025284072
-
-
Ph. D. thesis, Center for Operations Research and Econometrics, Université Catholique de Louvain, Belgium
-
Valdesogo, A. (2009). Multivariate Volatility Models Using Copulas. Ph. D. thesis, Center for Operations Research and Econometrics, Université Catholique de Louvain, Belgium.
-
(2009)
Multivariate Volatility Models Using Copulas
-
-
Valdesogo, A.1
-
64
-
-
0000646447
-
Ratio tests for model selection and non-nested hypotheses
-
Vuong, Q. H. (1989). Ratio tests for model selection and non-nested hypotheses. Econometrica 57(2), 307–333.
-
(1989)
Econometrica
, vol.57
, Issue.2
, pp. 307-333
-
-
Vuong, Q.H.1
|