[HTML][HTML] A review of copula models for economic time series
AJ Patton - Journal of Multivariate Analysis, 2012 - Elsevier
This survey reviews the large and growing literature on copula-based models for economic
and financial time series. Copula-based multivariate models allow the researcher to specify …
and financial time series. Copula-based multivariate models allow the researcher to specify …
Copula methods for forecasting multivariate time series
A Patton - Handbook of economic forecasting, 2013 - Elsevier
Copula-based models provide a great deal of flexibility in modeling multivariate
distributions, allowing the researcher to specify the models for the marginal distributions …
distributions, allowing the researcher to specify the models for the marginal distributions …
Modelling asymmetric exchange rate dependence
AJ Patton - International economic review, 2006 - Wiley Online Library
We test for asymmetry in a model of the dependence between the Deutsche mark and the
yen, in the sense that a different degree of correlation is exhibited during joint appreciations …
yen, in the sense that a different degree of correlation is exhibited during joint appreciations …
On the out-of-sample importance of skewness and asymmetric dependence for asset allocation
AJ Patton - Journal of financial econometrics, 2004 - academic.oup.com
Recent studies in the empirical finance literature have reported evidence of two types of
asymmetries in the joint distribution of stock returns. The first is skewness in the distribution …
asymmetries in the joint distribution of stock returns. The first is skewness in the distribution …
A general approach to integrated risk management with skewed, fat-tailed risks
JV Rosenberg, T Schuermann - Journal of Financial economics, 2006 - Elsevier
Integrated risk management for financial institutions requires an approach for aggregating
risk types (market, credit, and operational) whose distributional shapes vary considerably …
risk types (market, credit, and operational) whose distributional shapes vary considerably …
Estimation of multivariate models for time series of possibly different lengths
AJ Patton - Journal of applied econometrics, 2006 - Wiley Online Library
We consider the problem of estimating parametric multivariate density models when
unequal amounts of data are available on each variable. We focus in particular on the case …
unequal amounts of data are available on each variable. We focus in particular on the case …
Copula–based models for financial time series
AJ Patton - Handbook of financial time series, 2009 - Springer
This paper presents an overview of the literature on applications of copulas in the modelling
of financial time series. Copulas have been used both in multivariate time series analysis …
of financial time series. Copulas have been used both in multivariate time series analysis …
Goodness-of-fit tests for copulas
JD Fermanian - Journal of multivariate analysis, 2005 - Elsevier
This paper defines two distribution free goodness-of-fit test statistics for copulas. It states
their asymptotic distributions under some composite parametric assumptions in an …
their asymptotic distributions under some composite parametric assumptions in an …
[BOOK][B] Extreme financial risks: From dependence to risk management
Y Malevergne, D Sornette - 2006 - books.google.com
Portfolio analysis and optimization, together with the associated risk assessment and
management, require knowledge of the likely distributions of returns at different time scales …
management, require knowledge of the likely distributions of returns at different time scales …
The Euro and European financial market dependence
A time-varying copula model is used to investigate the impact of the introduction of the Euro
on the dependence between 17 European stock markets during the period 1994–2003. The …
on the dependence between 17 European stock markets during the period 1994–2003. The …