(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates
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Cited by:
- Chen, Xiaohong & Fan, Yanqin, 2006.
"Estimation of copula-based semiparametric time series models,"
Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
- Xiaohong Chen & Yanqin Fan, 2002. "Estimation of Copula-Based Semiparametric Time Series Models," Vanderbilt University Department of Economics Working Papers 0226, Vanderbilt University Department of Economics, revised Oct 2004.
- Yanqin Fan & Xiaohong Chen, 2004. "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society.
- Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007.
"Selecting copulas for risk management,"
Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
- Koedijk, Kees & Verbeek, Marno & Kole, Erik, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers 5652, C.E.P.R. Discussion Papers.
- Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
- Andrew J. Patton, 2006.
"Estimation of multivariate models for time series of possibly different lengths,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173, March.
- Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
- Scaillet, Olivier, 2007.
"Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters,"
Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 533-543, March.
- Olivier Scaillet, 2005. "Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters," FAME Research Paper Series rp145, International Center for Financial Asset Management and Engineering.
- Panchenko, Valentyn, 2005.
"Goodness-of-fit test for copulas,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 176-182.
- Panchenko, V., 2004. "Goodness-of-fit test for copulas," CeNDEF Working Papers 04-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Matthias Fischer & Christian Köck, 2007. "Multivariate Copula Models at Work: Dependence Structure of Energie Prices," Energy and Environmental Modeling 2007 24000014, EcoMod.
- Xiangdong Long & Liangjun Su & Aman Ullah, 2011.
"Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 109-125, January.
- Long, Xiangdong & Su, Liangjun & Ullah, Aman, 2011. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 109-125.
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- Mark Trede & Cornelia Savu, 2013. "Do stock returns have an Archimedean copula?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(8), pages 1764-1778, August.
- Oriol Roch Casellas & Antonio Alegre Escolano, 2005. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Working Papers in Economics 143, Universitat de Barcelona. Espai de Recerca en Economia.
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