Copula-Based Models for Financial Time Series

By Andrew J. Patton. 2009

412 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/60fe4c5183019be96c9c4ae5a6543676442b22b1

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Citations in the corpus

When does the stock market listen to economic news? New evidence from copulas and news wires (2014, neutral): “For an introduction to copulas see Joe (1997) and Nelsen (2006), and Cherubini et al. (2004) and Patton (2009) for applications of copulas in ﬁnance.”
Bayesian Inference Methods for Univariate and Multivariate GARCH Models: A Survey (2014, neutral): “A very useful feature of copulas, as noted by Patton (2009), is that the marginal distributions of each random variable do not need to be similar to each other.”
Copula Methods for Forecasting Multivariate Time Series (2013, methodology): “…the dynamics in a panel of earnings data; Lee and Long (2009) use copulas to exibly model the uncorrelated residuals of a multivariate GARCH model; Patton (2009b), Dudley and Nimalendran (2011) and Kang, et al. (2010) apply copulas to study dependence between hedge funds and other assets; and…”
Vine Copula Specifications for Stationary Multivariate Markov Chains (2015, methodology): “See, for instance, either of the textbooks by Cherubini et al. (2004, 2012), or any of the three review articles by Patton (2009, 2012, 2013).”
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011, methodology): “It is straightforward to transform the general framework of Section 3.1 to a copula specification similar to those reviewed by Patton (2009).”
COPULAS AND TEMPORAL DEPENDENCE (2008, background): “2 is commonly attributed to Rosenblatt (1956). However, Beare (2007) observes that this definition is in fact different to that proposed by Rosenblatt, and appears to have first been stated by Volkonskii and Rozanov (1959), who refer to their condition as being ‘analogous’ to that of Rosenblatt.”
Copula Theory: An Introduction (2010, background): “Other investigations related related to copulas and time-changing dependence structure can be found in [86, 159].”