Simulated Method of Moments Estimation for Copula-Based Multivariate Models

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Goodness-of-Fit Tests for Copulas of Multivariate Time Series (2017, unknown): “Similar models were proposed by Dias and Embrechts [29], Chen and Fan [10] and Patton [30].”
Modeling Dependence in High Dimensions With Factor Copulas (2015, methodology): “These simulated rank dependence measures can then be used in the SMM estimation method of Oh and Patton (2013), which is briefly described in Section 3.”
A review of copula models for economic time series (2012, methodology): “A variety of different standard errors are computed for the estimated parameters, implementation details of which are presented in Patton [122].”
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2018, methodology): “In contrast, Chen and Fan (2006), Rémillard (2010), and Oh and Patton (2013) allowed for nonparametric estimation of the marginal distributions.”