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Asymptotic efficiency of the two-stage estimation method for copula-based models

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Cited by:

  1. Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01020293, HAL.
  2. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
  3. Jonas Dovern & Hans Manner, 2020. "Order‐invariant tests for proper calibration of multivariate density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
  4. Kazushi Maruo & Takaharu Yamabe & Yusuke Yamaguchi, 2017. "Statistical simulation based on right skewed distributions," Computational Statistics, Springer, vol. 32(3), pages 889-907, September.
  5. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  6. Komatsubara, Tadaaki & Okimoto, Tatsuyoshi & Tatsumi, Ken-ichi, 2017. "Dynamics of integration in East Asian equity markets," Journal of the Japanese and International Economies, Elsevier, vol. 45(C), pages 37-50.
  7. Ha, Sang su & Welch, J. Mark & Anderson, David P., 2016. "Time Varying Correlation Research Among Corn, Ethanol, And Gasoline: Copula –Garch Approach," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252741, Southern Agricultural Economics Association.
  8. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
  9. Kuang-Liang Chang, 2021. "A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 965-999, December.
  10. Jia Xu & Longbing Cao, 2023. "Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling," Papers 2305.08778, arXiv.org.
  11. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
  12. Okimoto, Tatsuyoshi, 2014. "Asymmetric increasing trends in dependence in international equity markets," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 219-232.
  13. David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
  14. Zhicheng Liang & Junwei Wang & Kin Keung Lai, 2020. "Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 169-193, February.
  15. Denis Agniel & Tianxi Cai, 2017. "Analysis of multiple diverse phenotypes via semiparametric canonical correlation analysis," Biometrics, The International Biometric Society, vol. 73(4), pages 1254-1265, December.
  16. Nagler, Thomas & Krüger, Daniel & Min, Aleksey, 2022. "Stationary vine copula models for multivariate time series," Journal of Econometrics, Elsevier, vol. 227(2), pages 305-324.
  17. Marbac, Matthieu & Sedki, Mohammed, 2017. "A family of block-wise one-factor distributions for modeling high-dimensional binary data," Computational Statistics & Data Analysis, Elsevier, vol. 114(C), pages 130-145.
  18. Segers, J.J.J. & van den Akker, R. & Werker, B.J.M., 2008. "Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known," Discussion Paper 2008-40, Tilburg University, Center for Economic Research.
  19. Ding, Wei & Song, Peter X.-K., 2016. "EM algorithm in Gaussian copula with missing data," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 1-11.
  20. Aristidis Nikoloulopoulos & Harry Joe, 2015. "Factor Copula Models for Item Response Data," Psychometrika, Springer;The Psychometric Society, vol. 80(1), pages 126-150, March.
  21. Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2020. "Risk endogeneity at the lender/investor-of-last-resort," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 283-297.
  22. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
  23. Kim, Gunky & Silvapulle, Mervyn J. & Silvapulle, Paramsothy, 2007. "Comparison of semiparametric and parametric methods for estimating copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2836-2850, March.
  24. Carta, Alessandro & Steel, Mark F.J., 2012. "Modelling multi-output stochastic frontiers using copulas," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3757-3773.
  25. Saberzadeh, Zahra & Razmkhah, Mostafa & Amini, Mohammad, 2023. "Bayesian reliability analysis of complex k-out-of-n: â„“ systems under degradation performance," Reliability Engineering and System Safety, Elsevier, vol. 231(C).
  26. Christensen, Troels Sønderby & Pircalabu, Anca & Høg, Esben, 2019. "A seasonal copula mixture for hedging the clean spark spread with wind power futures," Energy Economics, Elsevier, vol. 78(C), pages 64-80.
  27. Miao, Ruiqing & Khanna, Madhu, 2015. "The Biomass Crop Assistance Program: Critical, Notional, or Distortional Support for Cellulosic Biofuels?," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205818, Agricultural and Applied Economics Association.
  28. Nguyen, Hoang & Javed, Farrukh, 2023. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
  29. Meichi Huang & Chih-Chiang Wu, 2015. "Economic benefits and determinants of extreme dependences between REIT and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 299-327, February.
  30. Grothe, Oliver & Schnieders, Julius, 2011. "Spatial dependence in wind and optimal wind power allocation: A copula-based analysis," Energy Policy, Elsevier, vol. 39(9), pages 4742-4754, September.
  31. Fei, Fei & Fuertes, Ana-Maria & Kalotychou, Elena, 2017. "Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching," International Journal of Forecasting, Elsevier, vol. 33(3), pages 662-678.
  32. Joe, Harry, 2006. "Generating random correlation matrices based on partial correlations," Journal of Multivariate Analysis, Elsevier, vol. 97(10), pages 2177-2189, November.
  33. Michael S. Smith & Shaun P. Vahey, 2016. "Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 416-434, July.
  34. Leh-Chyan So & Jun-Yang Yu, 2015. "IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-25, December.
  35. Leo Michelis & Cathy Ning & Jeremey Ponrajah, 2024. "Safe haven currencies: A dependence switching copula approach," Working Papers 091, Toronto Metropolitan University, Department of Economics.
  36. Vernic, Raluca & Bolancé, Catalina & Alemany, Ramon, 2022. "Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 111-125.
  37. repec:cte:wsrepe:27652 is not listed on IDEAS
  38. De Lira Salvatierra, Irving & Patton, Andrew J., 2015. "Dynamic copula models and high frequency data," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 120-135.
  39. Zhao, Xiaobing & Zhou, Xian, 2012. "Estimation of medical costs by copula models with dynamic change of health status," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 480-491.
  40. Segers, J.J.J. & van den Akker, R. & Werker, B.J.M., 2008. "Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known," Other publications TiSEM 950a8cda-8f8c-43a9-a5c2-8, Tilburg University, School of Economics and Management.
  41. Hui, Francis K.C. & Müller, Samuel & Welsh, A.H., 2020. "The LASSO on latent indices for regression modeling with ordinal categorical predictors," Computational Statistics & Data Analysis, Elsevier, vol. 149(C).
  42. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
  43. Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov, 2012. "Reconstructing high dimensional dynamic distributions from distributions of lower dimension," Working Papers 12003, Concordia University, Department of Economics.
  44. Bouezmarni, Taoufik & Rombouts, Jeroen V. K., 2008. "Asymptotic properties of the Bernstein density copula for dependent data," UC3M Working papers. Economics we083619, Universidad Carlos III de Madrid. Departamento de Economía.
  45. Christian M. Hafner & Hans Manner, 2012. "Dynamic stochastic copula models: estimation, inference and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(2), pages 269-295, March.
  46. Hobæk Haff, Ingrid, 2012. "Comparison of estimators for pair-copula constructions," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 91-105.
  47. Shi, Peng & Zhao, Zifeng, 2024. "Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction," Journal of Econometrics, Elsevier, vol. 240(1).
  48. Wang, Mengjiao & Liu, Jianxu & Yang, Bing, 2024. "Does the strength of the US dollar affect the interdependence among currency exchange rates of RCEP and CPTPP countries?," Finance Research Letters, Elsevier, vol. 62(PA).
  49. Hafner, Christian M. & Wang, Linqi, 2023. "A dynamic conditional score model for the log correlation matrix," Journal of Econometrics, Elsevier, vol. 237(2).
  50. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  51. Michael Stanley Smith, 2021. "Implicit Copulas: An Overview," Papers 2109.04718, arXiv.org.
  52. Li, Feng & Kang, Yanfei, 2018. "Improving forecasting performance using covariate-dependent copula models," International Journal of Forecasting, Elsevier, vol. 34(3), pages 456-476.
  53. Shuling Liu & Amita K. Manatunga & Limin Peng & Michele Marcus, 2017. "A joint modeling approach for multivariate survival data with random length," Biometrics, The International Biometric Society, vol. 73(2), pages 666-677, June.
  54. Leen Prenen & Roel Braekers & Luc Duchateau, 2017. "Extending the Archimedean copula methodology to model multivariate survival data grouped in clusters of variable size," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 483-505, March.
  55. Di Bernardino Elena & Rullière Didier, 2013. "On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators," Dependence Modeling, De Gruyter, vol. 1(2013), pages 1-36, October.
  56. Bouezmarni, T. & Rombouts, J.V.K., 2009. "Semiparametric multivariate density estimation for positive data using copulas," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2040-2054, April.
  57. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
  58. Liu, Bin & Shi, Yimin & Ng, Hon Keung Tony & Shang, Xiangwen, 2021. "Nonparametric Bayesian reliability analysis of masked data with dependent competing risks," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
  59. Xiao Zhao & Xian Zhou, 2015. "Estimation of copula-based models for lifetime medical costs," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(5), pages 897-915, October.
  60. Nguyen, Hoang & Ausín, M. Concepción & Galeano, Pedro, 2020. "Variational inference for high dimensional structured factor copulas," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
  61. Kojadinovic, Ivan & Yan, Jun, 2010. "Comparison of three semiparametric methods for estimating dependence parameters in copula models," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 52-63, August.
  62. Bouezmarni Taoufik & Ghouch El & Taamouti Abderrahim, 2013. "Bernstein estimator for unbounded copula densities," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 343-360, December.
  63. Smith, Michael Stanley & Shively, Thomas S., 2018. "Econometric modeling of regional electricity spot prices in the Australian market," Energy Economics, Elsevier, vol. 74(C), pages 886-903.
  64. Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Post-Print halshs-01020293, HAL.
  65. Pérez-Rodríguez, Jorge V. & Ledesma-Rodríguez, Francisco & Santana-Gallego, María, 2015. "Testing dependence between GDP and tourism's growth rates," Tourism Management, Elsevier, vol. 48(C), pages 268-282.
  66. Tong, Bin & Diao, Xundi & Wu, Chongfeng, 2015. "Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector," Economic Modelling, Elsevier, vol. 51(C), pages 366-382.
  67. Jinyu Zhang & Kang Gao & Yong Li & Qiaosen Zhang, 2022. "Maximum Likelihood Estimation Methods for Copula Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 99-124, June.
  68. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
  69. Smith, Michael Stanley & Maneesoonthorn, Worapree, 2018. "Inversion copulas from nonlinear state space models with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 34(3), pages 389-407.
  70. Li, Heping & Deloux, Estelle & Dieulle, Laurence, 2016. "A condition-based maintenance policy for multi-component systems with Lévy copulas dependence," Reliability Engineering and System Safety, Elsevier, vol. 149(C), pages 44-55.
  71. Zhang, Ran & Czado, Claudia & Min, Aleksey, 2011. "Efficient maximum likelihood estimation of copula based meta t-distributions," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1196-1214, March.
  72. Almeida, Carlos & Czado, Claudia, 2012. "Efficient Bayesian inference for stochastic time-varying copula models," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1511-1527.
  73. BenMim, Imen & BenSaïda, Ahmed, 2019. "Financial contagion across major stock markets: A study during crisis episodes," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 187-201.
  74. Veraart, Almut E.D., 2019. "Modeling, simulation and inference for multivariate time series of counts using trawl processes," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 110-129.
  75. Jorge V. Pérez-Rodríguez, 2020. "Another look at the implied and realised volatility relation: a copula-based approach," Risk Management, Palgrave Macmillan, vol. 22(1), pages 38-64, March.
  76. Qing Xu & Xiao-Ming Li, 2009. "Estimation of dynamic asymmetric tail dependences: an empirical study on Asian developed futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(4), pages 273-290.
  77. Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
  78. Ahmed BenSaïda & Houda Litimi, 2021. "Financial contagion across G10 stock markets: A study during major crises," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4798-4821, July.
  79. Corduas, Marcella, 2015. "A statistical model for consumer preferences: the case of Italian extra virgin olive oil," 143rd Joint EAAE/AAEA Seminar, March 25-27, 2015, Naples, Italy 202701, European Association of Agricultural Economists.
  80. Lawless, Jerald F. & Yilmaz, Yildiz E., 2011. "Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2446-2455, July.
  81. Daniel Zängerle & Dirk Schiereck, 2023. "Modelling and predicting enterprise-level cyber risks in the context of sparse data availability," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(2), pages 434-462, April.
  82. Zhao, XiaoBing & Zhou, Xian, 2010. "Applying copula models to individual claim loss reserving methods," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 290-299, April.
  83. Guillermo Martínez-Flórez & Artur J. Lemonte & Germán Moreno-Arenas & Roger Tovar-Falón, 2022. "The Bivariate Unit-Sinh-Normal Distribution and Its Related Regression Model," Mathematics, MDPI, vol. 10(17), pages 1-26, August.
  84. Takashi Isogai, 2017. "Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 193-220, September.
  85. Lu Lu & Sujit Ghosh, 2023. "Nonparametric Estimation of Multivariate Copula Using Empirical Bayes Methods," Mathematics, MDPI, vol. 11(20), pages 1-22, October.
  86. Michael Stanley Smith & Weichang Yu & David J. Nott & David Frazier, 2023. "Cutting Feedback in Misspecified Copula Models," Papers 2310.03521, arXiv.org, revised Jun 2024.
  87. Rémillard, Bruno & Scaillet, Olivier, 2009. "Testing for equality between two copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
  88. Warshaw, Evan, 2019. "Extreme dependence and risk spillovers across north american equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 237-251.
  89. repec:hal:journl:halshs-01163837 is not listed on IDEAS
  90. Fang, Guanqi & Pan, Rong & Hong, Yili, 2020. "Copula-based reliability analysis of degrading systems with dependent failures," Reliability Engineering and System Safety, Elsevier, vol. 193(C).
  91. Wu, Chih-Chiang & Liang, Shin-Shun, 2011. "The economic value of range-based covariance between stock and bond returns with dynamic copulas," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 711-727, September.
  92. Sayed H. Kadhem & Aristidis K. Nikoloulopoulos, 2023. "Bi-factor and Second-Order Copula Models for Item Response Data," Psychometrika, Springer;The Psychometric Society, vol. 88(1), pages 132-157, March.
  93. Guillermo Martínez-Flórez & Rafael Bráz Azevedo-Farias & Roger Tovar-Falón, 2022. "An Exponentiated Multivariate Extension for the Birnbaum-Saunders Log-Linear Model," Mathematics, MDPI, vol. 10(8), pages 1-17, April.
  94. Allen, David & Lizieri, Colin & Satchell, Stephen, 2020. "A comparison of non-Gaussian VaR estimation and portfolio construction techniques," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 356-368.
  95. Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 42, pages 30-53.
  96. Wanling Huang & Artem Prokhorov, 2014. "A Goodness-of-fit Test for Copulas," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 751-771, October.
  97. A. James & N. Chandra & Nicy Sebastian, 2023. "Stress-strength reliability estimation for bivariate copula function with rayleigh marginals," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 14(1), pages 196-215, March.
  98. Meinel, Nina, 2007. "Untersuchung asymptotischer Eigenschaften von Schätzern diskreter bivariater Copula Modelle mit Kovariablen," Discussion Papers 82/2007, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  99. Manner, Hans & Rodríguez, Gabriel & Stöckler, Florian, 2024. "A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1385-1403.
  100. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, vol. 173(2), pages 189-204.
  101. Thomas B. Fomby & Jeffery W. Gunther & Jian Hu, 2012. "Return Dependence and the Limits of Product Diversification in Financial Firms," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1151-1183, September.
  102. Guillermo Martínez-Flórez & Carlos Barrera-Causil & Artur J. Lemonte, 2022. "Power Families of Bivariate Proportional Hazard Models," Mathematics, MDPI, vol. 10(23), pages 1-18, November.
  103. Mamode Khan Naushad & Rumjaun Wasseem & Sunecher Yuvraj & Jowaheer Vandna, 2017. "Computing with bivariate COM-Poisson model under different copulas," Monte Carlo Methods and Applications, De Gruyter, vol. 23(2), pages 131-146, June.
  104. Bertrand K Hassani, 2015. "Model Risk - From Epistemology to Management. Ipse se nihil scire id unum sciat. (Socrates' Plato)," Documents de travail du Centre d'Economie de la Sorbonne 15026, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  105. Bertrand K Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne 14037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  106. Wu, Chih-Chiang & Chiu, Junmao, 2017. "Economic evaluation of asymmetric and price range information in gold and general financial markets," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 53-68.
  107. Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
  108. Paravee Maneejuk & Woraphon Yamaka, 2021. "The Role of Economic Contagion in the Inward Investment of Emerging Economies: The Dynamic Conditional Copula Approach," Mathematics, MDPI, vol. 9(20), pages 1-23, October.
  109. Liu, Wenli & Chen, Elton J. & Yao, Erlei & Wang, Yanyu & Chen, Yangyang, 2021. "Reliability analysis of face stability for tunnel excavation in a dependent system," Reliability Engineering and System Safety, Elsevier, vol. 206(C).
  110. Romera, Rosario & Molanes, Elisa M., 2008. "Copulas in finance and insurance," DES - Working Papers. Statistics and Econometrics. WS ws086321, Universidad Carlos III de Madrid. Departamento de Estadística.
  111. Vatter, Thibault & Chavez-Demoulin, Valérie, 2015. "Generalized additive models for conditional dependence structures," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 147-167.
  112. Chen, Xiaohong & Xiao, Zhijie & Wang, Bo, 2022. "Copula-based time series with filtered nonstationarity," Journal of Econometrics, Elsevier, vol. 228(1), pages 127-155.
  113. Johan Dahlin & Mattias Villani & Thomas B. Schon, 2015. "Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods," Papers 1506.06975, arXiv.org, revised Jun 2017.
  114. Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
  115. Alexandra Dias, 2024. "Maximum Pseudo-Likelihood Estimation of Copula Models and Moments of Order Statistics," Risks, MDPI, vol. 12(1), pages 1-26, January.
  116. Ehab Mohamed Almetwally & Hiba Zeyada Muhammed & El-Sayed A. El-Sherpieny, 2020. "Bivariate Weibull Distribution: Properties and Different Methods of Estimation," Annals of Data Science, Springer, vol. 7(1), pages 163-193, March.
  117. Calabrese, Raffaella & Osmetti, Silvia Angela, 2019. "A new approach to measure systemic risk: A bivariate copula model for dependent censored data," European Journal of Operational Research, Elsevier, vol. 279(3), pages 1053-1064.
  118. Brechmann Eike Christain & Czado Claudia, 2013. "Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 307-342, December.
  119. Tobias Eckernkemper, 2018. "Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 63-117.
  120. Bassetti, Federico & De Giuli, Maria Elena & Nicolino, Enrica & Tarantola, Claudia, 2018. "Multivariate dependence analysis via tree copula models: An application to one-year forward energy contracts," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1107-1121.
  121. Wu, Chih-Chiang & Chen, Wei-Peng & Korsakul, Nattawadee, 2021. "Extreme linkages between foreign exchange and general financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  122. Sun, Fuqiang & Li, Hao & Cheng, Yuanyuan & Liao, Haitao, 2021. "Reliability analysis for a system experiencing dependent degradation processes and random shocks based on a nonlinear Wiener process model," Reliability Engineering and System Safety, Elsevier, vol. 215(C).
  123. Bax, Karoline & Sahin, Özge & Czado, Claudia & Paterlini, Sandra, 2023. "ESG, risk, and (tail) dependence," International Review of Financial Analysis, Elsevier, vol. 87(C).
  124. Sayed H. Kadhem & Aristidis K. Nikoloulopoulos, 2023. "Factor Tree Copula Models for Item Response Data," Psychometrika, Springer;The Psychometric Society, vol. 88(3), pages 776-802, September.
  125. Eleanderson Campos & Roel Braekers & Devanil J. Souza & Lucas M. Chaves, 2021. "Factor copula models for right-censored clustered survival data," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 27(3), pages 499-535, July.
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