Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model

By Andréas Heinen, Alfonso Valdesogo Robles. 2009

112 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4064ca5e684e982efc9e291b54b6de6d34fd5661

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Citations in the corpus

Selecting and estimating regular vine copulae and application to financial returns (2012, unknown): “…(2009), Hofmann and Czado (2010), Mendes et al. (2010), Salinas-Guti´errez et al. (2010), Erdorf et al. (2011), Mercier and Frison (2009), Smith et al. (2010)), C-vines are less commonly used (Heinen and Valdesogo (2009), Czado et al. (2010)); Nikoloulopoulos et al. (2012) consider both classes.”
Truncated regular vines in high dimensions with application to financial data (2012, unknown): “It should be noted that joint simplification of C-vine copulas previously has been treated by Heinen & Valdesogo (2009) and Valdesogo (2009).”
Pair-Copula Constructions for Financial Applications: A Review (2016, unknown): “Addressing both of these issues, Heinen and Valdesogo [78] developed an extension of the CAPM, which can capture the non-linear and non-Gaussian behavior of the cross-section of asset returns, as well as model their dependencies to the market and the respective sector.”
Modeling Dependence in High Dimensions With Factor Copulas (2015, unknown): “Combining the inequalities in equations (26) and (27) gives 0@gT;S ̂T;S+ek"T gT;S ( 0) "T G0ek 1A = 0@gT;S ̂T;S+ek"T gT;S ( 0) g0 ̂T;S+ek"T "T 1A”
Parameter estimation for pair-copula constructions (2013, unknown): “1350-7265 c© 2013 ISI/BS Chollete et al. [6], Heinen and Valdesogo [19], Schirmacher and Schirmacher [35], Czado and Min [9], Kolbjørnsen and Stien [29], Czado et al. [10, 11]), exhibiting its adequacy for various applications.”
Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios (2015, methodology): “In practice, we rely on the relationship between the pair-copula dependence parameters in Section 4.1 and the corresponding Kendall's tau to compute the correlation coefficients among the assets of the same portfolio (see, Heinen and Valdesogo, 2009).”