Copula Methods in Finance: Cherubini/Copula

By Umberto Cherubini, Elisa Luciano, Walter Vecchiato. 2004

767 citations recorded by the source corpus.

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Citations in the corpus

Copula goodness-of-fit testing: an overview and power comparison (2009, background): “For exhaustive and general introductions to copulae, the reader is referred to Joe (1997) and Nelsen (1999), and for introductions oriented to financial applications, Malevergne and Sornette (2006) and Cherubini et al. (2004).”
Copulas in Econometrics (2014, methodology): “Cherubini et al. (2004) present an introduction to copulas using methods from mathematical finance, and McNeil et al. (2005) present an overview of copula methods in the context of risk management .”
Nonparametric estimation of the lower tail dependence λ L in bivariate copulas (2005, background): “If he intends to construct a realistic and reliable model for a portfolio consisting of these two assets, knowledge of lL is useful (see for example, Cherubini et al., 2004, for an application of copula theory to risk management).”
A multivariate jump-driven financial asset model (2006, unknown): “For a general introduction to copulas, we refer the reader to Nelsen (1999), for its applications in finance to Cherubini et al. (2004).”
Copula-Based Models of Systemic Risk in U.S. Agriculture: Implications for Crop Insurance and Reinsurance Contracts (2015, background): “Much of the work on copulas has been motivated by their applicability to issues in risk management, insurance, and financial economics (see, among others, Rodriguez (2003); Cherubini, Luciano, and Vecchiato (2004); Hu (2006); Patton (2006); and Jondeau and Rockinger (2006)).”
Absolutely Continuous Copulas with Given Diagonal Sections (2008, background): “Relevant applications of this fact are provided in finance and insurance: see, for example, Cherubini et al. (2004), McNeil et al. (2005), Received June 22, 2007; Accepted March 12, 2008 Address correspondence to Fabrizio Durante, Department of Knowledge-Based Mathematical Systems, Johannes Kepler…”
Copula‐based drought severity‐duration‐frequency analysis in Iran (2009, background): “Detailed properties and various types of copulas can be founded in Joe (1997), Nelsen (1999), Cherubini et al. (2004) and Salvadori et al. (2007).”
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a (2006, background): “…(2003), Embrechts et al. (2001), Granger et al. (forthcoming), Frey and McNeil (2001), Rockinger and Jondeau (2001), Sancetta and Satchell (2001), Smith (2003), Rodriguez (2003), Rosenberg (2003), Cherubini et al. (2004), Patton (2004a), Rosenberg and Schuermann (2004), and Chen and Fan (2006).”
Hierarchies of Archimedean copulas (2010, methodology): “Recently, copulas have emerged as a powerful tool for creating more flexible and more realistic multivariate distributions in finance (Cherubini et al. 2004).”
Vine Copula Specifications for Stationary Multivariate Markov Chains (2015, methodology): “See, for instance, either of the textbooks by Cherubini et al. (2004, 2012), or any of the three review articles by Patton (2009, 2012, 2013).”
Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence (2007, background): “These copulas are the most popular copulas for applications in financial engineering, see Cherubini et al. (2004) for an overview.”
A new rainfall model based on the Neyman‐Scott process using cubic copulas (2008, unknown): “0043-1397/08/2007WR006054 W03433 WATER RESOURCES RESEARCH, VOL. 44, W03433, doi:10.1029/2007WR006054, 2008 1 of 18 [see Embrechts et al., 2002; Cherubini et al., 2004].”