Revisiting the Dependence between Financial Markets with Copulas
By Arnaud Costinot, Thierry Roncalli, J. Teiletche. 2000
57 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/246d0abc17b243983f25c5e34893a5357531c4a5
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Beatriz Vaz de Melo Mendes
- Nikolai Kolev
- U. D. Anjos
- N. Sghaier
- Andrew J. Patton
- Heni Boubaker
- S. J. Koopman
- Claudia Czado
In Finance
- Beatriz Vaz de Melo Mendes
- Nikolai Kolev
- U. D. Anjos
- N. Sghaier
- Andrew J. Patton
- Heni Boubaker
- S. J. Koopman
- Claudia Czado
Citations in the corpus
- Copulas: A Review and Recent Developments (2006, methodology): “Costinot et al.[24] used extreme value copulas and the GEV distribution, following a methodology given in Bouyé et al.”
- MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a (2006, background): “5 See Frees et al. (1996), Bouyé et al. (2000a, 2000b), Cherubini and Luciano (2001, 2002), Costinot et al. (2000), Li (2000), Fermanian and Scaillet (2003), Embrechts et al. (2001), Granger et al. (forthcoming), Frey and McNeil (2001), Rockinger and Jondeau (2001), Sancetta and Satchell (2001),…”
- Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013, background): “Archimedean copula functions have been applied by several authors to model the dependence structure between stock market returns (Costinot et al., 2000; Patton, 2004; Canela and Collazo, 2006; Kole et al., 2005; Jondeau and Rockinger, 2006; Hu, 2006; Rodriguez, 2007; de Melo Mendes and Kolev, 2008;…”