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Detecting atypical observations in financial data: the forward search for elliptical copulas

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  • Tiziano Bellini

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  • Tiziano Bellini, 2010. "Detecting atypical observations in financial data: the forward search for elliptical copulas," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 4(4), pages 287-299, December.
    • Handle: RePEc:spr:advdac:v:4:y:2010:i:4:p:287-299
    DOI: 10.1007/s11634-010-0072-5
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    References listed on IDEAS

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    1. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.
    2. Marco Riani & Anthony C. Atkinson & Andrea Cerioli, 2009. "Finding an unknown number of multivariate outliers," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 447-466, April.
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    Cited by:

    1. Bellini, Tiziano, 2012. "Forward search outlier detection in data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 216(1), pages 200-207.
    2. J. A. Carrillo & M. Nieto & J. F. Velez & D. Velez, 2021. "A New Machine Learning Forecasting Algorithm Based on Bivariate Copula Functions," Forecasting, MDPI, vol. 3(2), pages 1-22, May.
    3. Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.

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