Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula

By Andrew J. Patton. 2001

227 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d5723431c3e20d9834b2cb90f5862c2e6e1f4cf5

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In Economics and Econometrics

Citations in the corpus

Quantitative Risk Management: Concepts, Techniques, and Tools (2005, background): “Working paper, IAS Vienna • Patton, A.J. (2002). Modelling time-varying exchange rate dependence using the conditional copula.”
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS (2004, background): “…function is a fairly new concept in econometrics, there has been growing interest in financial econometrics~Hu, 2002; Bouyé, Gaussel, and Salmon, 2001; Patton, 2001; Rockinger and Jondeau, 2001; Longin and Solnik, 2001!+ The last authors deal with multivariate extreme value theory in the context…”
Empirical estimation of tail dependence using copulas: application to Asian markets (2005, unknown): “This issue has already been developed by Patton (2001) in the Gaussian and Joe–Clayton case.”
Multivariate GARCH Models: A Survey (2003, background): “1Kearney and Patton (2000) and Karolyi (1995) exemplify such studies.”
How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets (2014, methodology): “Examples of copula-GARCH models include Patton (2000) and Lee and Long (2009). 6The second approach basically relies on principal component analysis and requires a large number of univariate processes for the estimation.”
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications (2006, background): “(1999): An Introduction to Copulas, Springer, New York [29] Patton, A.”
Common Factors in Conditional Distributions for Bivariate Time Series (2006, methodology): “We conducted the specification tests presented in Patton (2002) to check the goodnessof-fit of the above specifications, and found no evidence that they are inadequate.”
Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series (2007, methodology): “One might be interested in looking at the tail dependence instead of correlation, in which case a Joe–Clayton copula can be used (Patton, 2001).”
A new copula approach for high-dimensional real world portfolios (2012, background): “[27], Mashal and Zeevi [32], and Patton [35].”
EVALUATING T HE BANK OF ENGLAND D ENSITY FORECASTS OF INFLATION (2004, unknown): “Patton (2002) describes tests of event probability forecasts when the events cover all possible outcomes, using the multinomial logit model for unordered multi-responses, and Clements (2003) applies tests based on (4) to survey density forecasts of inflation in the US.”
Stress-testing Financial Systems: An Overview of Current Methodologies (2004, background): “Embrechts, McNeil and Straumann, 1999 and Patton, 2001) would allow to model more general dependence structures in the world of non-elliptical distributions36, going beyond the concepts of linear correlation and Value-at-Risk.”
Non-Parametric Pricing of Multivariate Contingent Claims (2003, background): “Patton (2002) has developed a timevarying parametric copula estimator.”