A review of copula models for economic time series

By Andrew J. Patton. 2012

619 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

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Citations in the corpus

A new time-varying optimal copula model identifying the dependence across markets (2017, methodology): “The main contributions of this paper are as follows: first, referring to the idea of Patton (2012), half-rotated Clayton and Gumbel copulas are constructed and their relationships with Kendall’s τ, lower–upper tail and upper–lower taildependence function are strictly proven.”
Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios (2015, background): “Bivariate copulas are designed to split the marginal distribution from the joint dependence, while maintaining the original distribution of the marginals (Patton, 2012).”
Statistical arbitrage pairs trading strategies: Review and outlook (2017, neutral): “Beyond that, Patton (2012) provides an excellent overview of copula models for economic time series.”
The shifting dependence dynamics between the G7 stock markets (2018, positive): “Bedford and Cooke (2002) have ‡Patton (2012) provides a detailed survey on copula models for economic time series. decomposed the density of a d-dimensional distribution into a series of linked trees of bivariate copulas as building blocks called vines.”
Quantile coherency: A general measure for dependence between cyclical economic variables (2015, neutral): “It points us to the fact that returns are more dependent during business cycle downturns, than upturn; cf. Erb et al. (1994), Longin and Solnik (2001), Ang and Chen (2002) and Patton (2012).”
Copula Methods for Forecasting Multivariate Time Series (2013, background): “Manner and Reznikova (2011) present a survey speci cally focused on time-varying copula models, and Patton (2012) provides a brief review of the literature on copula-based methods for univariate and multivariate time series.”
The Structure and Degree of Dependence - A Quantile Regression Approach (2012, positive): “…and Strauman (2002) discuss the properties and pitfalls in dependence modelling and Embrechts, Lindskog and McNeil (2003) and Cherubini, Luciano and Vecciato (2004) describe the modelling of dependence with copulas.1 Dependence modelling in high dimensions is proposed by Oh and Patton (2012).”