Inhomogeneous Dependence Modeling with Time-Varying Copulae

2009

71 citations recorded by the source corpus.

Citations in the corpus

Modeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010, unknown): “When dealing with ﬁnancial log-returns, GARCH models are a frequent choice for attempting to remove serial dependence in the component time series, as discussed in Gr´egoire, Genest, and Gendron (2008) and Giacomini, H¨ardle, and Spokoiny (2009).”
Copula Methods for Forecasting Multivariate Time Series (2013, unknown): “s=1;s 6=t (8)<:@ log ci Ûs; ̂iT @uj 1 n Ûjt Ûjs o Ûjs (9)=; (72)”
A new time-varying optimal copula model identifying the dependence across markets (2017, unknown): “…mixed copula and (2) constructing a time-varying model for a single copula, namely the TVC model, which is mainly based on proposing a time-varying model for the copula-dependence parameters (Dias and Embrechts 2004; Patton 2006; Creal et al. 2008; Giacomini et al. 2009; Hafner and Reznikova 2010).”
Copula Theory: An Introduction (2010, unknown): “Other investigations related related to copulas and time-changing dependence structure can be found in [86, 159].”
A review of copula models for economic time series (2012, unknown): “[76], Guégan andZhang [83], Dias and Embrechts [44], Harvey [87], Rémillard [125] as well as in Busetti and Harvey [22].”