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The Advent of Copulas in Finance

Citations

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Cited by:

  1. Koziol, Philipp & Schell, Carmen & Eckhardt, Meik, 2015. "Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?," Discussion Papers 46/2015, Deutsche Bundesbank.
  2. Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
  3. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy, & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  4. Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.
  5. Simard Clarence & Rémillard Bruno, 2015. "Forecasting time series with multivariate copulas," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-24, May.
  6. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1596-1609, September.
  7. 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.
  8. Balkema, A.A. & Embrechts, P. & Nolde, N., 2010. "Meta densities and the shape of their sample clouds," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1738-1754, August.
  9. Ji, Hao & Wang, Hao & Zhong, Rui & Li, Min, 2020. "China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach," Economic Modelling, Elsevier, vol. 93(C), pages 187-204.
  10. Christian Genest & Johanna G. Nešlehová, 2020. "A Conversation With Paul Embrechts," International Statistical Review, International Statistical Institute, vol. 88(3), pages 521-547, December.
  11. Indranil Ghosh, 2017. "Bivariate Kumaraswamy Models via Modified FGM Copulas: Properties and Applications," JRFM, MDPI, vol. 10(4), pages 1-13, November.
  12. Elberg, Christina & Hagspiel, Simeon, 2015. "Spatial dependencies of wind power and interrelations with spot price dynamics," European Journal of Operational Research, Elsevier, vol. 241(1), pages 260-272.
  13. Simona Franzoni & Cristian Pelizzari, 2021. "Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas," Annals of Operations Research, Springer, vol. 299(1), pages 939-962, April.
  14. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
  15. Villa, Cristiano & Rubio, Francisco J., 2018. "Objective priors for the number of degrees of freedom of a multivariate t distribution and the t-copula," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 197-219.
  16. Claude Lefèvre & Matthieu Simon, 2021. "Schur-Constant and Related Dependence Models, with Application to Ruin Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 317-339, March.
  17. Alcock, Jamie & Sinagl, Petra, 2022. "International determinants of asymmetric dependence in investment returns," Journal of International Money and Finance, Elsevier, vol. 122(C).
  18. Katarzyna Bień-Barkowska, 2012. "A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 117-142, June.
  19. E. Allevi & L. Boffino & M. E. Giuli & G. Oggioni, 2019. "Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems," Annals of Operations Research, Springer, vol. 274(1), pages 1-37, March.
  20. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2016. "Stat Trek. An interview with Christian Genest," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-14, May.
  21. Khan, Ashraf & Goodell, John W. & Hassan, M. Kabir & Paltrinieri, Andrea, 2022. "A bibliometric review of finance bibliometric papers," Finance Research Letters, Elsevier, vol. 47(PA).
  22. Matthias Pelster & Johannes Vilsmeier, 2018. "The determinants of CDS spreads: evidence from the model space," Review of Derivatives Research, Springer, vol. 21(1), pages 63-118, April.
  23. Giovanni De Luca & Giorgia Rivieccio & Paola Zuccolotto, 2010. "Combining random forest and copula functions: A heuristic approach for selecting assets from a financial crisis perspective," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 17(2), pages 91-109, April.
  24. Werner, Christoph & Bedford, Tim & Cooke, Roger M. & Hanea, Anca M. & Morales-Nápoles, Oswaldo, 2017. "Expert judgement for dependence in probabilistic modelling: A systematic literature review and future research directions," European Journal of Operational Research, Elsevier, vol. 258(3), pages 801-819.
  25. Desislava Chetalova & Marcel Wollschlager & Rudi Schafer, 2015. "Dependence structure of market states," Papers 1503.09004, arXiv.org, revised Jul 2015.
  26. Hobæk Haff, Ingrid, 2012. "Comparison of estimators for pair-copula constructions," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 91-105.
  27. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
  28. Pedro Antonio Martín Cervantes & Salvador Cruz Rambaud & María del Carmen Valls Martínez, 2020. "An Application of the SRA Copulas Approach to Price-Volume Research," Mathematics, MDPI, vol. 8(11), pages 1-28, October.
  29. Cong, Rong-Gang & Brady, Mark, 2012. "The Interdependence between Rainfall and Temperature: Copula Analyses," MPRA Paper 112149, University Library of Munich, Germany.
  30. Bruce Burton & Satish Kumar & Nitesh Pandey, 2020. "Twenty-five years of The European Journal of Finance (EJF): a retrospective analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1817-1841, December.
  31. Genest Christian & Scherer Matthias, 2020. "Insurance applications of dependence modeling: An interview with Edward (Jed) Frees," Dependence Modeling, De Gruyter, vol. 8(1), pages 93-106, January.
  32. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
  33. Christian Bucio Pacheco & Luis Villanueva & Raúl de Jesús Gutiérrez, 2021. "Dependence in the Banking Sector of the United States and Mexico: A Copula Approach," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-23, Septiembr.
  34. repec:hum:wpaper:sfb649dp2012-049 is not listed on IDEAS
  35. Dickhaus, Thorsten & Gierl, Jakob, 2012. "Simultaneous test procedures in terms of p-value copulae," SFB 649 Discussion Papers 2012-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  36. Qu, Leming & Yin, Wotao, 2012. "Copula density estimation by total variation penalized likelihood with linear equality constraints," Computational Statistics & Data Analysis, Elsevier, vol. 56(2), pages 384-398.
  37. Ramadhani, Adhitya & Khan, Faisal & Colbourne, Bruce & Ahmed, Salim & Taleb-Berrouane, Mohammed, 2022. "Resilience assessment of offshore structures subjected to ice load considering complex dependencies," Reliability Engineering and System Safety, Elsevier, vol. 222(C).
  38. Christoph Werner & Tim Bedford & John Quigley, 2018. "Sequential Refined Partitioning for Probabilistic Dependence Assessment," Risk Analysis, John Wiley & Sons, vol. 38(12), pages 2683-2702, December.
  39. Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
  40. Diers, Dorothea & Eling, Martin & Marek, Sebastian D., 2012. "Dependence modeling in non-life insurance using the Bernstein copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 430-436.
  41. Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank.
  42. Tong, Bin & Wu, Chongfeng & Zhou, Chunyang, 2013. "Modeling the co-movements between crude oil and refined petroleum markets," Energy Economics, Elsevier, vol. 40(C), pages 882-897.
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