Estimation of a Conditional Copula and Association Measures

By Noël Veraverbeke, Marek Omelka, Irène Gijbels. 2011

112 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/b692d1fef8724bab8aa98e7e3d8e34adafe978f4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Hongjian Shi
2. Mathias Drton
3. Radu V. Craiu
4. Elif F. Acar
5. Fang Yao
6. Fang Han

In Management Science and Operations Research

1. Mathias Drton
2. Fang Yao
3. Fang Han
4. Han Lin Shang

In Statistics and Probability

1. Fang Han
2. Hongjian Shi
3. Mathias Drton
4. Radu V. Craiu
5. Elif F. Acar
6. Fang Yao
7. H. Muller
8. Marloes H. Maathuis

Citations in the corpus

• Statistical testing of covariate effects in conditional copula models (2013, background): “There is now a rich body of work on modelling and estimating conditional copula models, e.g. Gijbels et al. (2011); Abegaz et al. (2012); Veraverbeke et al. (2011); Craiu and Sabeti (2012).”
• On Azadkia–Chatterjee’s conditional dependence coefficient (2021, background): “…al. (2015) (on conditional distance correlation); Song (2009) and Cai et al. (2022) (based on Rosenblatt transformation); Bergsma (2004, 2011) and Veraverbeke et al. (2011) (copula-based); Hoyer et al. (2009), Peters et al. (2011), Shah and Peters (2020), and Petersen and Hansen (2021)…”