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Elliptical copulas: applicability and limitations

Citations

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  1. Bessa, Ricardo J. & Miranda, V. & Botterud, A. & Zhou, Z. & Wang, J., 2012. "Time-adaptive quantile-copula for wind power probabilistic forecasting," Renewable Energy, Elsevier, vol. 40(1), pages 29-39.
  2. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Papers 1604.01338, arXiv.org.
  3. 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.
  4. Katja Ignatieva & Eckhard Platen, 2010. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(3), pages 261-302, September.
  5. Mendes, Beatriz Vaz de Melo & Arslan, Olcay, 2006. "Multivariate Skew Distributions Based on the GT-Copula," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(2), November.
  6. Einolander, Johannes & Lahdelma, Risto, 2022. "Multivariate copula procedure for electric vehicle charging event simulation," Energy, Elsevier, vol. 238(PA).
  7. Dißmann, J. & Brechmann, E.C. & Czado, C. & Kurowicka, D., 2013. "Selecting and estimating regular vine copulae and application to financial returns," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 52-69.
  8. Huard, David & Evin, Guillaume & Favre, Anne-Catherine, 2006. "Bayesian copula selection," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 809-822, November.
  9. Geert Mesters & Piotr Zwiernik, 2022. "Non-independent components analysis," Economics Working Papers 1845, Department of Economics and Business, Universitat Pompeu Fabra.
  10. Hua, Lei & Joe, Harry, 2012. "Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 492-503.
  11. Katja Ignatieva & Natalia Ponomareva, 2017. "Commodity currencies and commodity prices: modelling static and time-varying dependence," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1491-1512, March.
  12. Derumigny, A. & Fermanian, J.-D., 2022. "Identifiability and estimation of meta-elliptical copula generators," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
  13. Mazo, Gildas & Girard, Stéphane & Forbes, Florence, 2015. "A class of multivariate copulas based on products of bivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 363-376.
  14. Katja Ignatieva & Eckhard Platen & Renata Rendek, 2010. "Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index," Research Paper Series 284, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Cipollini, Fabrizio & Gallo, Giampiero M., 2010. "Automated variable selection in vector multiplicative error models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2470-2486, November.
  16. Nelsen, Roger B. & Quesada-Molina, José Juan & Rodri­guez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2008. "On the construction of copulas and quasi-copulas with given diagonal sections," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 473-483, April.
  17. Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
  18. Daniel H. Alai & Katja Ignatieva & Michael Sherris, 2019. "The Investigation of a Forward-Rate Mortality Framework," Risks, MDPI, vol. 7(2), pages 1-22, June.
  19. Frahm, Gabriel & Jaekel, Uwe, 2007. "Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance," Discussion Papers in Econometrics and Statistics 2/07, University of Cologne, Institute of Econometrics and Statistics.
  20. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, vol. 5(2), pages 1-24, April.
  21. Dobrić, Jadran & Frahm, Gabriel & Schmid, Friedrich, 2007. "Dependence of stock returns in bull and bear markets," Discussion Papers in Econometrics and Statistics 9/07, University of Cologne, Institute of Econometrics and Statistics.
  22. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 32(4), pages 110-133.
  23. Nabil Kazi-Tani & Didier Rullière, 2019. "On a construction of multivariate distributions given some multidimensional marginals," Post-Print hal-01575169, HAL.
  24. Ulf Schepsmeier & Claudia Czado, 2016. "Dependence modelling with regular vine copula models: a case-study for car crash simulation data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 65(3), pages 415-429, April.
  25. Hashorva, Enkelejd, 2005. "Extremes of asymptotically spherical and elliptical random vectors," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 285-302, June.
  26. Liang Zhu & Christine Lim & Wenjun Xie & Yuan Wu, 2017. "Analysis of tourism demand serial dependence structure for forecasting," Tourism Economics, , vol. 23(7), pages 1419-1436, November.
  27. Balaev, Alexey, 2014. "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 90-110.
  28. Min, Aleksey & Czado, Claudia, 2014. "SCOMDY models based on pair-copula constructions with application to exchange rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 523-535.
  29. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, July-Dece.
  30. Zhuang, Haoxin & Diao, Liqun & Yi, Grace Y., 2022. "A Bayesian nonparametric mixture model for grouping dependence structures and selecting copula functions," Econometrics and Statistics, Elsevier, vol. 22(C), pages 172-189.
  31. A. Dematteo & S. Clémençon, 2016. "On tail index estimation based on multivariate data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 152-176, March.
  32. Frahm, Gabriel, 2006. "On the extremal dependence coefficient of multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1470-1481, August.
  33. Matthias Fischer & Daniel Kraus & Marius Pfeuffer & Claudia Czado, 2017. "Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression," Risks, MDPI, vol. 5(3), pages 1-13, July.
  34. Ioannis S. Triantafyllou, 2023. "An Archimedean Copulas-Based Approach for m -Consecutive- k -Out-of- n : F Systems with Exchangeable Components," Stats, MDPI, vol. 6(4), pages 1-12, October.
  35. Peng, Weiwen & Li, Yan-Feng & Mi, Jinhua & Yu, Le & Huang, Hong-Zhong, 2016. "Reliability of complex systems under dynamic conditions: A Bayesian multivariate degradation perspective," Reliability Engineering and System Safety, Elsevier, vol. 153(C), pages 75-87.
  36. Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 80-100, August.
  37. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2013, January-A.
  38. EnDer Su, 2018. "Measuring contagion risk in high volatility state among Taiwanese major banks," Risk Management, Palgrave Macmillan, vol. 20(3), pages 185-241, August.
  39. Dobric, Jadran & Schmid, Friedrich, 2007. "A goodness of fit test for copulas based on Rosenblatt's transformation," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4633-4642, May.
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