Dynamic copula models for multivariate high-frequency data in finance

By Alexandra Dias, Paul Embrechts. 2004

161 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a6942723bf979c27a1f0cb1dae31b64882305cc3

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Citations in the corpus

GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2013, background): “Patton (2006) introduced the notion of time-varying copulas, see also Dias and Embrechts (2004) and van den Goorbergh, Genest, and Werker (2005).”
A General Framework for Observation Driven Time-Varying Parameter Models (2008, unknown): “Patton (2006) introduced the notion of time-varying copulas, see also Dias and Embrechts (2004) and van den Goorbergh, Genest, and Werker (2005).”
Using Conditional Copula to Estimate Value at Risk (2004, methodology): “This approach was applied, for instance, by Dias and Embrechts (2003) and Patton (2003a). The ARMA × GARCH models work as a filter in order to have innovation processes, which are serially independent.”
Modeling International Financial Returns with a Multivariate Regime Switching Copula (2009, unknown): “3For related work on copulas as a modeling tool for returns, see Embrechts, Klüppelberg & Mikosch (1997), and Dias & Embrechts (2004).”
Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets (2012, methodology): “Available conditional copulas are, however, limited to pairwise or low dimensions, as documented by Dias and Embrechts (2004), Patton (2004, 2006a and b), and Jondeau and Rockinger (2006). We extend the framework by incorporating copulas and EVT by adopting a semi-parametric form of the marginal dis”
Long Memory Dynamics for Multivariate Dependence under Heavy Tails (2014, unknown): “Time-varying copulas have been introduced by Patton (2002, 2006) and applied and extended by Dias and Embrechts (2004, 2010), Jondeau and Rockinger (2006), Bartram, Taylor, and Wang (2007) and Ausin and Lopes (2010).”
A new time-varying optimal copula model identifying the dependence across markets (2017, background): “…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).”
Extreme Value Theory for Finance: A Survey (2012, methodology): “The above cited paper Dias and Embrechts (2003) applies the two-step procedure to model the marginal distributions of a multivariate time series.”
An Overview of the Goodness-of-Fit Test Problem for Copulas (2012, background): “Several applications of such techniques to financial series modelling and risk management has emerged, notably [65], [27], [19], [63], [92], among others.”
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2006, unknown): “E-mail: yanqin.fan@vanderbilt.edu”
Dynamic Copula Modelling for Value at Risk (2006, unknown): “Following Patton (2006) and Embrechts and Dias (2003), we suggest this general evolution equation as starting point for our dynamic copula specifications: ρt = Λ (ξ + ̺ · |ut−1 − vt−1”
Estimation of VAR Using Copula and Extreme Value Theory (2006, methodology): “This approach has been widely used in the literature (e.g., Genest, Ghoudi and Rives [1995], Dias and Embrechts [2004] , Di Clemente and Romano [2005] and Patton [2006a, 2006b]).”
A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework (2009, background): “Using different techniques, Burton and Dabrowski [1992] also provide some results on the positive dependence of exchangeable sequences of default indicators. Regarding the latter point, additional results can also be found in Müller and Scarsini [2005]. Eventually, similar results on positive depend”
International diversification: A copula approach (2011, methodology): “We therefore include these two information criteria, since they are employed in this literature by many researchers, such as Dias and Embrechts (2004) and Frees and Valdez (1997).”
Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (2004, methodology): “…Luciano (2001, 2002), Duan (2002), Hu (2002), Junker and May (2002), Mashal and Zeevi (2002), Patton (2002a, b, 2004), Rockinger and Jondeau (2002), Dias and Embrechts (2003), Embrechts, et al. (2003) and Breymann, et al (2003). series via the copula approach, parametric copulas are used to model…”