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Econometric analysis of financial count data and portfolio choice : a dynamic approach

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Testing for asymmetric dependence

Manner, Hans - 2008

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Dynamic stochastic copula models : estimation, inference and applications

Hafner, Christian M.; Manner, Hans - 2008

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Copula based models for serial dependence

Mendes, Beatriz Vaz de Melo; Aíube, Cecília - In: International journal of managerial finance : IJMF 7 (2011) 1, pp. 68-82

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Copula-MGARCH with continuous covariance decomposition

Herwartz, Helmut; Raters, Fabian H. C. - In: Economics letters 133 (2015), pp. 73-76

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Mixed data kernel copulas

Racine, Jeffrey - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 37-59

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Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10011377261

Use of copula functions for the reliability of series systems

Achcar, Jorge Alberto; Moala, Fernando - In: International journal of quality & reliability management 32 (2015) 6, pp. 617-634

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Banking systemic vulnerabilities : a tail-risk dynamic CIMDO approach

Jin, Xisong; Nadal-De Simone, Francisco - In: Journal of financial stability 14 (2014), pp. 81-101

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Forecasting surrender rates using elliptical copulas and financial variables

Neves, César; Fernandes, Cristiano Augusto Coelho; … - In: North American actuarial journal 18 (2014) 2, pp. 343-362

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