Conditional Dependency of Financial Series: An Application of Copulas

By Michael Rockinger, Eric Jondeau. 2001

176 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1a42a82eab8ae6558030c7082828ce06ff0ba11e

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Citations in the corpus

Estimation of Copula Models for Time Series of Possibly Different Length (2001, unknown): “Suitable copulas include the Clayton and the Gumbel copulas, see Joe (1997) or Nelsen (1999) for more on these copulas. of writing) includes Rosenberg (1999) and (2000), Bouy¶e, et al., (2000), Li (2000), Scaillet (2000), Embrechts, et al., (2001), Patton (2001a,b) and Rockinger and Jondeau (2001).”
Measuring financial contagion:a copula approach (2007, background): “10 See also Rockinger and Jondeau (2001).”
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications (2006, background): “Conditional copula functions are studied by Patton (2001) who models conditional dependence in U.S.-Dollar exchange rate returns and by Rockinger and Jondeau (2001) who examine conditional dependence in international stock market returns.”
Estimation of Copula-Based Semiparametric Time Series Models (2006, background): “…copulas: Patton (2002a, b; 2004) extended Sklar's theorem to multivariate conditional distributions and applied parametric conditional copulas to model the time-varying dependence between different exchange rates; see Rockinger and Jondeau (2002) and Granger et al. (2003) for similar applications.”
Using Conditional Copula to Estimate Value at Risk (2004, methodology): “Rockinger and Jondeau (2001) used the Plackett’s copula and a dependence measure to check whether the linear dependence varies with the time.”
Dynamic Copula Modelling for Value at Risk (2006, unknown): “1) is a conditional bivariate distribution function with conditional marginal distributions Ft and Gt (see Sklar (1959), Patton (2006), for a proof).”
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004, unknown): “In economics and finance, see Li (2000), Embrechts, Höing, and Juri (2001), Patton (2001a, 2001b), Rockinger and Jondeau (2001), Chen and Fan (2002a, 2002b), Mashal and Zeevi (2002), Miller and Liu (2002), Junker and May (2002), Fermanian and Scaillet (2003), and Rosenberg (2003).”
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS (2004, background): “…fairly new concept in econometrics, there has been growing interest in financial econometrics~Hu, 2002; Bouyé, Gaussel, and Salmon, 2001; Patton, 2001; Rockinger and Jondeau, 2001; Longin and Solnik, 2001!+ The last authors deal with multivariate extreme value theory in the context of financial…”
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003, unknown): “In Rockinger and Jondeau (2001) we develop a multivariate framework.”