Inhomogeneous Dependence Modeling with Time-Varying Copulae

By Enzo Giacomini, Wolfgang Karl Härdle, Vladimir Spokoiny. 2009

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9f8a6a6b9f616e6576095c3ae0cc459797c5e044

Citations in the corpus

• 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].”
• Modeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010, unknown): “The above decomposition has been recently extended by Kojadinovic and Holmes (2009) to the situation where one wants to test the mutual independence of several continuous random vectors.”
• 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).”