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Modeling Dependence in High Dimensions With Factor Copulas
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- Quanrui Song & Jianxu Liu & Songsak Sriboonchitta, 2019. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas," Mathematics, MDPI, vol. 7(3), pages 1-16, March.
- Polanski, Arnold & Stoja, Evarist & Chiu, Ching-Wai (Jeremy), 2019. "Tail risk interdependence," Bank of England working papers 815, Bank of England.
- K. B. Gubbels & J. Y. Ypma & C. W. Oosterlee, 2023. "Principal Component Copulas for Capital Modelling," Papers 2312.13195, arXiv.org.
- Kastner, Gregor, 2019.
"Sparse Bayesian time-varying covariance estimation in many dimensions,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 98-115.
- Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
- Hamori, Shigeyuki & Motegi, Kaiji & Zhang, Zheng, 2019. "Calibration estimation of semiparametric copula models with data missing at random," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 85-109.
- Müller, Dominik & Czado, Claudia, 2019. "Dependence modelling in ultra high dimensions with vine copulas and the Graphical Lasso," Computational Statistics & Data Analysis, Elsevier, vol. 137(C), pages 211-232.
- Bampinas, Georgios & Panagiotidis, Theodore, 2024.
"How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?,"
Research in International Business and Finance, Elsevier, vol. 70(PA).
- Bampinas, Georgios & Panagiotidis, Theodore, 2023. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," MPRA Paper 117094, University Library of Munich, Germany.
- Georgios Bampinas & Theodore Panagiotidis, 2024. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," Working Paper series 24-01, Rimini Centre for Economic Analysis.
- Bartels, Mariana & Ziegelmann, Flavio A., 2016. "Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 66-79.
- 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.
- Hans Manner & Gabriel Rodriguez & Florian St ckler, 2021. "A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets," Graz Economics Papers 2021-14, University of Graz, Department of Economics.
- Sihong Chen & Qi Li & Qiaoyu Wang & Yu Yvette Zhang, 2023. "Multivariate models of commodity futures markets: a dynamic copula approach," Empirical Economics, Springer, vol. 64(6), pages 3037-3057, June.
- Mayer, Alexander & Wied, Dominik, 2023.
"Estimation and inference in factor copula models with exogenous covariates,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1500-1521.
- Alexander Mayer & Dominik Wied, 2021. "Estimation and Inference in Factor Copula Models with Exogenous Covariates," Papers 2107.03366, arXiv.org, revised Dec 2022.
- Oh, Dong Hwan & Patton, Andrew J., 2023. "Dynamic factor copula models with estimated cluster assignments," Journal of Econometrics, Elsevier, vol. 237(2).
- Dellaportas, Petros & Tsionas, Mike G., 2019. "Importance sampling from posterior distributions using copula-like approximations," Journal of Econometrics, Elsevier, vol. 210(1), pages 45-57.
- Zheng, Tingguo & Ye, Shiqi & Hong, Yongmiao, 2023. "Fast estimation of a large TVP-VAR model with score-driven volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
- Han, Yingwei & Li, Jie, 2022. "Should investors include green bonds in their portfolios? Evidence for the USA and Europe," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Choe, Geon Ho & Choi, So Eun & Jang, Hyun Jin, 2020. "Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- 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.
- Dong Hwan Oh & Andrew J. Patton, 2021. "Dynamic Factor Copula Models with Estimated Cluster Assignments," Finance and Economics Discussion Series 2021-029r1, Board of Governors of the Federal Reserve System (U.S.), revised 06 May 2022.
- Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
- Cyril Bénézet & Emmanuel Gobet & Rodrigo Targino, 2021. "Transform MCMC schemes for sampling intractable factor copula models," Working Papers hal-03334526, HAL.
- Alcock, Jamie & Sinagl, Petra, 2022. "International determinants of asymmetric dependence in investment returns," Journal of International Money and Finance, Elsevier, vol. 122(C).
- Siem Jan Koopman & Rutger Lit & André Lucas & Anne Opschoor, 2018. "Dynamic discrete copula models for high‐frequency stock price changes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 966-985, November.
- Stanislav Anatolyev & Vladimir Pyrlik, 2021. "Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions," CERGE-EI Working Papers wp699, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Alessandro Barbiero, 2021. "Inducing a desired value of correlation between two point-scale variables: a two-step procedure using copulas," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(2), pages 307-334, June.
- Peter Reinhard Hansen & Chen Tong, 2024. "Convolution-t Distributions," Papers 2404.00864, arXiv.org.
- Gaete, Michael & Herrera, Rodrigo, 2023.
"Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach,"
Journal of Commodity Markets, Elsevier, vol. 32(C).
- Gaete, Michael & Herrera, Rodrigo, 2022. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," MPRA Paper 115641, University Library of Munich, Germany.
- Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020.
"Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 247-275, February.
- Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach," Papers 2012.04181, arXiv.org.
- León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Jianxu Liu & Quanrui Song & Yang Qi & Sanzidur Rahman & Songsak Sriboonchitta, 2020. "Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions," Sustainability, MDPI, vol. 12(10), pages 1-15, May.
- 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.
- Tachibana, Minoru, 2022. "Safe haven assets for international stock markets: A regime-switching factor copula approach," Research in International Business and Finance, Elsevier, vol. 60(C).
- Francisco (F.) Blasques & Andre (A.) Lucas & Andries van Vlodrop, 2017. "Finite Sample Optimality of Score-Driven Volatility Models," Tinbergen Institute Discussion Papers 17-111/III, Tinbergen Institute.
- Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis N., 2023.
"Sovereign bond and CDS market contagion: A story from the Eurozone crisis,"
Journal of International Money and Finance, Elsevier, vol. 137(C).
- Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis, 2020. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," MPRA Paper 102846, University Library of Munich, Germany.
- Georgios Bampinas & Theodore Panagiotidis & Panagiotis N. Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Working Paper series 23-09, Rimini Centre for Economic Analysis.
- Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
- Smith, Michael Stanley, 2023. "Implicit Copulas: An Overview," Econometrics and Statistics, Elsevier, vol. 28(C), pages 81-104.
- Xu Wang & Xueyan Wu & Yingying Zhou, 2022. "Conditional Dynamic Dependence and Risk Spillover between Crude Oil Prices and Foreign Exchange Rates: New Evidence from a Dynamic Factor Copula Model," Energies, MDPI, vol. 15(14), pages 1-21, July.
- Conlon, Thomas & Cotter, John & Kovalenko, Illia & Post, Thierry, 2023. "A financial modeling approach to industry exchange-traded funds selection," Journal of Empirical Finance, Elsevier, vol. 74(C).
- Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019. "Time series models for realized covariance matrices based on the matrix-F distribution," Papers 1903.12077, arXiv.org, revised Jul 2020.
- Damien Ackerer & Thibault Vatter, 2016. "Dependent Defaults and Losses with Factor Copula Models," Papers 1610.03050, arXiv.org, revised Jan 2018.
- Ouyang, Ruolan & Chen, Xiang & Fang, Yi & Zhao, Yang, 2022. "Systemic risk of commodity markets: A dynamic factor copula approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
- 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).
- Michael A. Goldstein & Joseph McCarthy & Alexei G. Orlov, 2019. "The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries," The Financial Review, Eastern Finance Association, vol. 54(1), pages 5-56, February.
- Michael Stanley Smith, 2021. "Implicit Copulas: An Overview," Papers 2109.04718, arXiv.org.
- Anatolyev, Stanislav & Pyrlik, Vladimir, 2022. "Copula shrinkage and portfolio allocation in ultra-high dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
- Cyril Bénézet & Emmanuel Gobet & Rodrigo Targino, 2023.
"Transform MCMC Schemes for Sampling Intractable Factor Copula Models,"
Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-41, March.
- Cyril Bénézet & Emmanuel Gobet & Rodrigo Targino, 2023. "Transform MCMC schemes for sampling intractable factor copula models," Post-Print hal-03334526, HAL.
- Carsten Bormann & Melanie Schienle, 2020.
"Detecting Structural Differences in Tail Dependence of Financial Time Series,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 380-392, April.
- Bormann, Carsten & Schienle, Melanie, 2019. "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics 122, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021.
"Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
- Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019. "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute, revised 23 Oct 2019.
- Fritzsch, Simon & Timphus, Maike & Weiß, Gregor, 2024. "Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?," Journal of Banking & Finance, Elsevier, vol. 158(C).
- Ackerer Damien & Vatter Thibault, 2017. "Dependent defaults and losses with factor copula models," Dependence Modeling, De Gruyter, vol. 5(1), pages 375-399, December.
- Hua, Lei & Joe, Harry, 2017. "Multivariate dependence modeling based on comonotonic factors," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 317-333.
- Kreuzer, Alexander & Czado, Claudia, 2021. "Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo," Econometrics and Statistics, Elsevier, vol. 19(C), pages 130-150.
- Aviral Kumar Tiwari & Sangram Keshari Jena & Satish Kumar & Erik Hille, 2022. "Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach," Annals of Operations Research, Springer, vol. 315(1), pages 429-461, August.
- McCausland, William & Miller, Shirley & Pelletier, Denis, 2021. "Multivariate stochastic volatility using the HESSIAN method," Econometrics and Statistics, Elsevier, vol. 17(C), pages 76-94.
- Hofert, Marius & Prasad, Avinash & Zhu, Mu, 2022. "Multivariate time-series modeling with generative neural networks," Econometrics and Statistics, Elsevier, vol. 23(C), pages 147-164.
- Nguyen, Hoang & Ausín, M. Concepción & Galeano, Pedro, 2020. "Variational inference for high dimensional structured factor copulas," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
- Sirio Aramonte & Mohammad R. Jahan-Parvar & Samuel Rosen & John W. Schindler, 2022.
"Firm-Specific Risk-Neutral Distributions with Options and CDS,"
Management Science, INFORMS, vol. 68(9), pages 7018-7033, September.
- Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.
- Antonia Arsova & Deniz Dilan Karaman Örsal, 2016. "An intersection test for the cointegrating rank in dependent panel data," Working Paper Series in Economics 357, University of Lüneburg, Institute of Economics.
- Okhrin, Yarema & Uddin, Gazi Salah & Yahya, Muhammad, 2023. "Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets," Energy Economics, Elsevier, vol. 125(C).
- Xiangqian Sun & Xing Yan & Qi Wu, 2020. "Generative Learning of Heterogeneous Tail Dependence," Papers 2011.13132, arXiv.org, revised Nov 2023.
- Loaiza-Maya, Rubén & Smith, Michael Stanley & Nott, David J. & Danaher, Peter J., 2022.
"Fast and accurate variational inference for models with many latent variables,"
Journal of Econometrics, Elsevier, vol. 230(2), pages 339-362.
- Rub'en Loaiza-Maya & Michael Stanley Smith & David J. Nott & Peter J. Danaher, 2020. "Fast and Accurate Variational Inference for Models with Many Latent Variables," Papers 2005.07430, arXiv.org, revised Apr 2021.
- Yousaf Ali Khan, 2022. "Modeling Dependent Structure Among Micro-Economics Variables Through COPAR (1)-Model in Pakistan," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 257-279, March.
- Martin Magris, 2019. "A Vine-copula extension for the HAR model," Papers 1907.08522, arXiv.org.
- Arnold Polanski & Evarist Stoja & Ching‐Wai (Jeremy) Chiu, 2021. "Tail risk interdependence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5499-5511, October.
- Blasques, Francisco & Lucas, André & van Vlodrop, Andries C., 2021. "Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence," Econometrics and Statistics, Elsevier, vol. 19(C), pages 47-57.
- 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.
- Andre Lucas & Anne Opschoor & Luca Rossini, 2021. "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers 21-010/III, Tinbergen Institute, revised 11 Jul 2023.
- Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn, 2023. "Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns," Papers 2308.05564, arXiv.org, revised Jul 2024.
- de Carvalho, Pablo Jose Campos & Gupta, Aparna, 2018. "A network approach to unravel asset price comovement using minimal dependence structure," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 119-132.
- Lo, Simon M.S. & Mammen, Enno & Wilke, Ralf A., 2020. "A nested copula duration model for competing risks with multiple spells," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
- Hediger, Simon & Näf, Jeffrey, 2024. "Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns," Journal of Empirical Finance, Elsevier, vol. 77(C).
- Maximilian Coblenz & Simon Holz & Hans‐Jörg Bauer & Oliver Grothe & Rainer Koch, 2020. "Modelling fuel injector spray characteristics in jet engines by using vine copulas," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 69(4), pages 863-886, August.
- Tong, Chen & Hansen, Peter Reinhard, 2023.
"Characterizing correlation matrices that admit a clustered factor representation,"
Economics Letters, Elsevier, vol. 233(C).
- Chen Tong & Peter Reinhard Hansen, 2023. "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers 2308.05895, arXiv.org.
- Manner, Hans & Stark, Florian & Wied, Dominik, 2019. "Testing for structural breaks in factor copula models," Journal of Econometrics, Elsevier, vol. 208(2), pages 324-345.
- Manner, Hans & Alavi Fard, Farzad & Pourkhanali, Armin & Tafakori, Laleh, 2019. "Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae," Energy Economics, Elsevier, vol. 78(C), pages 143-164.
- Bhat, Chandra R. & Mondal, Aupal, 2022. "A New Flexible Generalized Heterogeneous Data Model (GHDM) with an Application to Examine the Effect of High Density Neighborhood Living on Bicycling Frequency," Transportation Research Part B: Methodological, Elsevier, vol. 164(C), pages 244-266.
- Jin Xisong & Lehnert Thorsten, 2018. "Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 19-46, February.
- Krupskii, Pavel & Joe, Harry, 2020. "Flexible copula models with dynamic dependence and application to financial data," Econometrics and Statistics, Elsevier, vol. 16(C), pages 148-167.
- Juwon Seo, 2018. "Randomization Tests for Equality in Dependence Structure," Papers 1811.02105, arXiv.org.
- Supper, Hendrik & Irresberger, Felix & Weiß, Gregor, 2020. "A comparison of tail dependence estimators," European Journal of Operational Research, Elsevier, vol. 284(2), pages 728-742.
- Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
- Verhoijsen Alex & Krupskiy Pavel, 2022. "Fast inference methods for high-dimensional factor copulas," Dependence Modeling, De Gruyter, vol. 10(1), pages 270-289, January.
- Simon Fritzsch & Maike Timphus & Gregor Weiss, 2021. "Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?," Papers 2109.10946, arXiv.org.