Estimation and Model Selection of Copulas with an Application to Exchange Rates

61 citations recorded by the source corpus.

How researchers see this paper

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

Selecting and estimating regular vine copulae and application to financial returns (2012, methodology): “Bivariate copula selection using the AIC has previously been investigated in Manner (2007) and Brechmann (2010, Section 5.4) who found that it is a quite reliable criterion, in particular in comparison to alternative criteria such as copula goodness-of-ﬁt tests.”
Uncertainty and Crude Oil Returns (2016, methodology): “We use the AIC and BIC information criteria corrected for the numbers of parameters used in the models to select the best copula model (Manner, 2007 and Brechmann, 2010).”
Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013, background): “…2005; Jondeau and Rockinger, 2006; Hu, 2006; Rodriguez, 2007; de Melo Mendes and Kolev, 2008; Sun et al., 2009; Ignatievay and Platen, 2010; Aloui et al., 2011; Chollete et al., 2011; Garcia and Tsafack, 2011) and the dependence structure between exchange rate returns (Liu, 2006; Manner, 2007).”