Common Factors in Conditional Distributions for Bivariate Time Series

By Clive W. J. Granger, Timo Teräsvirta, Andrew J. Patton. 2006

73 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4b8e28330b2ca2663e706744ac8a2731e7f3e00f

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Citations in the corpus

Comparison of semiparametric and parametric methods for estimating copulas (2007, background): “For expositions that are specifically oriented towards applications in economics, finance and risk management, see Cherubini et al. (2004), McNeil et al. (2005), Patton (2004, 2005a,b) and Granger et al. (2005).”
Quantile coherency: A general measure for dependence between cyclical economic variables (2015, unknown): “This ﬁrst step is commonly taken in the literature of modelling the joint market distribution using copulas; cf. Granger et al. (2006) and Patton (2012).”
Copula Methods for Forecasting Multivariate Time Series (2013, unknown): “(U1t; U2t) jFt 1 s C ( t) (77) where t = (Zt 1; ) , for Zt 1 2 Ft 1”
Granger-causality in quantiles between financial markets: Using copula approach ☆ (2014, background): “Some recent research includes Li (2000), Scaillet and Fermanian (2003), Embrechts, Hoing, and Juri (2003), Patton (2006a, b), Granger, Teräsvitra, and Patton (2006), and Chen and Fan (2006a, 2006b), among others.”
A review of copula models for economic time series (2012, methodology): “[81] use copulas to provide a definition of a ‘‘common factor in distribution’’ for macroeconomic time series; Bartram et al.”
Copula-Based Models for Financial Time Series (2009, background): “Results for general classes of univariate nonlinear processes are presented in Carrasco and Chen (2002) and Meitz and Saikkonen (2004), however similar results for the multivariate case are not yet available.”
COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES (2009, background): “…to a wide range of problems in economics, finance, and risk management (see, among others, Cherubini, Luciano, and Vecchiato, 2004, and references therein; Patton, 2004; McNeil et al., 2005; Hu, 2006; the review in de la Peña et al., 2006; Granger, Teräsvirta, and Patton, 2006; Patton, 2006).”