The Copula-GARCH model of conditional dependencies: An international stock market application

By Eric Jondeau, Michael Rockinger. 2006

843 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7bd72f171dfeb60c8d47e41a6d49007b517bb22a

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Citations in the corpus

Statistical testing of covariate effects in conditional copula models (2013, methodology): “The decomposition theorem for U-statistics (Hoeffding, 1948) allows us to show that V ar(Vn) = O(n −1h−2) as follows.”
Dependence structure and extreme comovements in international equity and bond markets (2011, positive): “Compared to exceedance correlation used by Longin and Solnik (2001), Ang and Chen (2002), Ang and Bekaert (2002), and Patton (2004), a key advantage of TDF and corresponding TDCs is their invariance to modifications of marginal distributions that do not affect the dependence structure.”
Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts (2010, neutral): “The flexibility of the parametric approach may be further increased by allowing for time-variation in the parameters of the (conditional) copula, see Patton (2006) and Jondeau and Rockinger (2006) for instance.”
Modeling International Financial Returns with a Multivariate Regime Switching Copula (2009, positive): “However, as shown in Korn (1984), even with a Gaussian joint distribution, where a pair of variables is independent conditionally on the remaining variables, the conditional Kendall’s τ calculated by applying the same rules as for the Pearson correlation is not necessarily equal to zero.”
Long Memory Dynamics for Multivariate Dependence under Heavy Tails (2014, neutral): “see Mancini and Gobbi (2010). It serves as our benchmark for the model implied estimates of correlation.”
Copula-Based Models for Financial Time Series (2009, background): “See Denuit and Lambert (2005) for one such method. ate information, it is clear that the information contained in the copula C must be all of the dependence information between the Xi s3.”
The shifting dependence dynamics between the G7 stock markets (2018, positive): “To avoid copula model misspecification, Patton (2006) suggests that the probability integral transform (PIT) ui,t must be uniformly and independently distributed on the interval (0, 1).”
Glossary to ARCH (GARCH) (2008, methodology): “GARCH - Γ (GARCH Gamma) The gamma of an option is deﬁned as the second derivative of the option price with respect to the price of the underlying asset.”
Efficient estimation of a multivariate multiplicative volatility model (2010, background): “…(2001), Tse and Tsui (2002), van der Weide (2002), Vrontos, Dellaportas and Politis (2003), Lanne and Saikkonen (2005), Boswijk and van der Weide (2006), Patton (2006), Jondeau and Rockinger (2006), Kawatsu (2006), Bauwens, Laurent and Rombouts (2006) and Silvennoinen and Teräsvirta (2009b).”
Sequential Conditional Correlations: Inference and Evaluation (2009, neutral): “Patton (2000) and Jondeau and Rockinger (2001) propose copula-MGARCH mod-”