Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

By Xiaohong Chen, Yanqin Fan. 2006

455 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/578de54f02e6c47fc435f7778c9a6fcc07411d3b

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Citations in the corpus

Copulas in Econometrics (2014, methodology): “The asymptotic distribution of this estimator was studied by Genest et al. (1995) for i.i.d. data and by Chen & Fan (2006b) for (univariate) time series data.”
Copula-Based Models of Systemic Risk in U.S. Agriculture: Implications for Crop Insurance and Reinsurance Contracts (2015, unknown): “Using the nonparametric, empirical marginals is preferred in that the asymptotic distributions of the copula estimates are not affected by the first-stage estimation of the marginals, as has been shown by Chen and Fan (2006). Further, Charpentier, Fermanian, and Scaillet (2007) have noted that copul”
Bayesian model selection for D‐vine pair‐copula constructions (2011, methodology): “The statistical properties of such two step estimation procedures are investigated by Joe (2005) for a known standardized residual distribution and by Chen and Fan (2006) for unknown standardized residual distribution, respectively.”
Efficient Estimation of Semiparametric Multivariate Copula Models (2006, unknown): “The two-step estimator and its large-sample properties have been extended to time series setting by Chen and Fan (2005, 2006).”
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2018, background): “In contrast, Chen and Fan (2006), Rémillard (2010), and Oh and Patton (2013) allowed for nonparametric estimation of the marginal distributions.”
Models for construction of multivariate dependence – a comparison study (2009, methodology): “Joe (1997); Nelsen (1999); Embrechts et al. (2003); Whelan (2004); Morillas (2005); Savu and Trede (2006). In this paper we discuss one group of such extensions, the nested Archimedean constructions (NACs). For the d-dimensional case, all NACs allow for the modelling of up to d − 1 bivariate Archime”
Maximum likelihood estimation of mixed C-vines with application to exchange rates (2012, methodology): “To improve efficiency in the semi-parametric approach of Genest et al. (1995), Chen and Fan (2006) and Chan et al. (2009) based their inference for the copula parameters on the Kullback-Leibler information criteria.”
Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts (2010, methodology): “vector) but are estimated nonparametrically. Chen and Fan (2005, 2006) suggest the fol-”
Modeling Dependence in High Dimensions With Factor Copulas (2015, background): “The class of data-generating processes (DGPs) covered by Oh and Patton (2013) is the same as that in Chen and Fan (2006) and Rémillard (2010).”
Granger-causality in quantiles between financial markets: Using copula approach ☆ (2014, methodology): “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.”
Pair-copula constructions of multiple dependence (2009, methodology): “In the light of recent results due to Chen and Fan (2006), the method of maximum pseudolikelihood is consistent even when time-series models are fitted to the margins.”