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Tail dependence measure for examining financial extreme co-movements
Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; … - In: Journal of econometrics 194 (2016) 2, pp. 330-348
Persistent link: https://www.econbiz.de/10011705189
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Nonparametric tests for tail monotonicity
Berghaus, Betina; Bücher, Axel - In: Journal of econometrics 180 (2014) 2, pp. 117-126
Persistent link: https://www.econbiz.de/10010433404
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Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - In: Journal of econometrics 187 (2015) 1, pp. 154-168
Persistent link: https://www.econbiz.de/10011498799
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Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471820
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On the structure and estimation of hierarchical Archimedean copulas
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - In: Journal of econometrics 173 (2013) 2, pp. 189-204
Persistent link: https://www.econbiz.de/10009711709
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High-dimensional copula-based distributions with mixed frequency data
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 193 (2016) 2, pp. 349-366
Persistent link: https://www.econbiz.de/10011704954
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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A goodness-of-fit test for copulas based on martingale transformation
Lu, Xiaohui; Zheng, Xu - In: Journal of econometrics 215 (2020) 1, pp. 84-117
Persistent link: https://www.econbiz.de/10012439384
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Quantile treatment effects in difference in differences models under dependence restrictions and with only two time periods
Callaway, Brantly; Li, Tong; Oka, Tatsushi - In: Journal of econometrics 206 (2018) 2, pp. 395-413
Persistent link: https://www.econbiz.de/10012110398
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Testing for structural breaks in factor copula models
Manner, Hans; Stark, Florian; Wied, Dominik - In: Journal of econometrics 208 (2019) 2, pp. 324-345
Persistent link: https://www.econbiz.de/10012145023