Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets

By Eric Bouyé, Mark Salmon. 2009

144 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/82365083f998ffc6d875ac2cfc2bc0aabcb5856f

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Citations in the corpus

Copula-Based Nonlinear Quantile Autoregression (2009, unknown): “See Bouyé and Salmon (2008) for additional examples of copula-based conditional quantile functions.”
Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach (2019, background): “However, as clearly indicated in Bouyé (2009), independence in the sense of “factorization of a bivariate distribution in the tails” would lead 𝜆𝑈 to be equal to zero, • Usually, a non-parametric based estimator denoted by መ𝜆𝐿 2, is implemented for the purposes of quantifying the strength of…”
Quantile dependence of oil price movements and stock returns (2016, methodology): “On the other hand, our approach also differs from the copula quantile regression framework adopted by Bouyé and Salmon (2009) and by Jing et al. (2008) for the tail risk measurement in that we computed copula quantiles conditional on quantile and interquantile values of the conditioning variable.”
Estimation and Model Selection of Copulas with an Application to Exchange Rates (2007, background): “The quasi-inverse, F (−1) of a distribution function F is defined as F (−1)(u) = inf{x : F (x) ≥ u} for u ∈ [0, 1] (3)”
An Approach to Multivariate Covariate-Dependent Quantile Contours With Application to Bivariate Conditional Growth Charts (2008, background): “A link between the copula function and the conditional quantile function has been elucidated by Bouyé and Salmon (2003).”
Vine Copula Specifications for Stationary Multivariate Markov Chains (2015, background): “…education funding reforms (Dearden et al., 2008), nursing home utilization (Sun et al., 2008), earnings mobility (Bonhomme and Robin, 2009), foreign exchange (Bouyé and Salmon, 2009), stock prices (Domma et al., 2009), electricity load (Smith et al., 2010) and gasoline prices (Beare and Seo, 2014).”
Granger-causality in quantiles between financial markets: Using copula approach ☆ (2014, methodology): “In practice an analytical approach using a parametric copula function is the most widely used approach, cf. Bouye and Salmon (2009).”
A review of copula models for economic time series (2012, background): “Other work on the dependence properties of copula-based Markov processes includes Beare [10], Beare [11], Beare and Seo [12], Bouyé and Salmon [20], Chen et al.”
Efficient Estimation of Copula-Based Semiparametric Markov Models (2009, methodology): “This nice feature has been exploited by Chen, Koenker and Xiao (2008) and Bouyé and Salmon (2008) in their study of copula-based nonlinear quantile autoregression and value at risk (VaR).”