Modeling Dependence in High Dimensions With Factor Copulas
暂无分享,去创建一个
[1] C. Czado,et al. Modeling high dimensional time-varying dependence using D-vine SCAR models , 2012, 1202.2008.
[2] Factor structures for panel and multivariate time series data , 2011 .
[3] I. Olkin,et al. Families of Multivariate Distributions , 1988 .
[4] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .
[5] Xiaohong Chen,et al. Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification , 2006 .
[6] Dong Hwan Oh,et al. Simulated Method of Moments Estimation for Copula-Based Multivariate Models , 2013 .
[7] A. McNeil,et al. The t Copula and Related Copulas , 2005 .
[8] Andrew J. Patton. Copula-Based Models for Financial Time Series , 2009 .
[9] M. Rothschild,et al. Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets , 1982 .
[10] D. Andrews. Testing When a Parameter Is on the Boundary of the Maintained Hypothesis , 2001 .
[11] A. McNeil,et al. The Grouped t-Copula with an Application to Credit Risk , 2003 .
[12] GourierouxMonfort. Statistics and Econometric Models, Volume 2 , 1996 .
[13] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[14] B. McCarl,et al. Economics , 1870, The Indian medical gazette.
[15] Hugues Langlois,et al. Dynamic Dependence and Diversification in Corporate Credit , 2016 .
[16] Xiaohong Chen,et al. Estimation of Copula-Based Semiparametric Time Series Models , 2006 .
[17] Pavel Krupskii,et al. Factor copula models for multivariate data , 2013, J. Multivar. Anal..
[18] Alan G. White,et al. Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation , 2004 .
[19] J. Gregory,et al. Basket Default Swaps, Cdos and Factor Copulas , 2005 .
[20] M. Meerschaert. Regular Variation in R k , 1988 .
[21] Christian Gourieroux,et al. Simulation-based econometric methods , 1996 .
[22] Ruey S. Tsay,et al. High Dimensional Dynamic Stochastic Copula Models , 2014 .
[23] M. E. Johnson,et al. A Family of Distributions for Modelling Non‐Elliptically Symmetric Multivariate Data , 1981 .
[24] D. McFadden. A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration , 1989 .
[25] D. Duffie,et al. Frailty Correlated Default , 2006 .
[26] Portfolio Selection with Heavy Tails , 2007 .
[27] Ke Yu,et al. Journal of the American Statistical Association Vast Volatility Matrix Estimation Using High- Frequency Data for Portfolio Selection Vast Volatility Matrix Estimation Using High-frequency Data for Portfolio Selection , 2022 .
[28] B. Rémillard. Goodness-ofFit Tests for Copulas of Multivariate Time Series , 2017 .
[29] Dawn Hunter. Basket default swaps, CDOs and factor copulas , 2005 .
[30] A. Frigessi,et al. Pair-copula constructions of multiple dependence , 2009 .
[31] Paul Embrechts,et al. Quantitative Risk Management , 2011, International Encyclopedia of Statistical Science.
[32] B. Rémillard. Goodness-of-Fit Tests for Copulas of Multivariate Time Series , 2010 .
[33] R. Engle,et al. Dynamic Equicorrelation , 2011 .
[34] W. Newey,et al. Large sample estimation and hypothesis testing , 1986 .
[35] William Feller,et al. An Introduction to Probability Theory and Its Applications , 1951 .
[36] Nikolaus Hautsch,et al. A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation , 2010 .
[37] C. Klüppelberg,et al. Modelling Extremal Events , 1997 .
[38] Modelling Dynamic Portfolio Credit Risk , 2003 .
[39] Satishs Iyengar,et al. Multivariate Models and Dependence Concepts , 1998 .
[40] J. Bai,et al. Determining the Number of Factors in Approximate Factor Models , 2000 .
[41] B. Hansen. Autoregressive Conditional Density Estimation , 1994 .
[42] Donald W. K. Andrews,et al. Consistent Moment Selection Procedures for Generalized Method of Moments Estimation , 1999 .
[43] Andrew J. Patton. Modelling Asymmetric Exchange Rate Dependence , 2006 .
[44] D. Pollard,et al. Simulation and the Asymptotics of Optimization Estimators , 1989 .
[45] Donald W. K. Andrews,et al. Empirical Process Methods in Econometrics , 1993 .
[46] R. Nelsen. An Introduction to Copulas , 1998 .
[47] Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model , 2009 .
[48] Christian Genest,et al. Beyond simplified pair-copula constructions , 2012, J. Multivar. Anal..
[49] Viral V. Acharya,et al. Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance , 2010 .
[50] Leif B. G. Andersen,et al. Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings , 2005 .
[51] Claudia Klüppelberg,et al. Copula structure analysis , 2009 .
[52] Jón Dańıelsson,et al. Fat tails, VaR and subadditivity☆ , 2013 .
[53] Alexander J. McNeil,et al. From Archimedean to Liouville copulas , 2010, J. Multivar. Anal..
[54] R. Kohn,et al. Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications , 2010 .
[55] L. Hansen. A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators , 1985 .
[56] David X. Li. On Default Correlation: A Copula Function Approach , 1999 .
[57] Andrew J. Patton. Copula Methods for Forecasting Multivariate Time Series , 2013 .
[58] Andréas Heinen,et al. Asymmetric CAPM Dependence for Large Dimensions: The Canonical Vine Autoregressive Copula Model , 2008 .
[59] Alastair R. Hall,et al. Generalized Method of Moments , 2005 .
[60] Frank E. Grubbs,et al. An Introduction to Probability Theory and Its Applications , 1951 .
[61] T. Bollerslev,et al. Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model , 1990 .
[62] W. Newey,et al. Uniform Convergence in Probability and Stochastic Equicontinuity , 1991 .
[63] R. Cattell. The Scree Test For The Number Of Factors. , 1966, Multivariate behavioral research.
[64] George S. Oldfield,et al. The Economics of Structured Finance , 1997 .
[65] F. Dias,et al. Determining the number of factors in approximate factor models with global and group-specific factors , 2008 .
[66] Christian Gourieroux,et al. Statistics and econometric models , 1995 .
[67] E. Luciano,et al. Copula methods in finance , 2004 .
[68] David M. Zimmer,et al. The Role of Copulas in the Housing Crisis , 2012, Review of Economics and Statistics.
[69] S. Kotz,et al. The Meta-elliptical Distributions with Given Marginals , 2002 .
[70] Hugues Langlois,et al. Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach , 2012 .
[71] David X. Li. On Default Correlation , 2000 .
[72] O. Barndorff-Nielsen. Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling , 1997 .
[73] Zhi-Xian Gao,et al. Flow Injection Determination of Nitrite in Food Samples by Dialysis Membrane Separation and Photometric Detection , 2002 .
[74] E. Luciano,et al. Copula Methods in Finance: Cherubini/Copula , 2004 .
[75] H. White,et al. A Reality Check for Data Snooping , 2000 .
[76] B. Harshbarger. An Introduction to Probability Theory and its Applications, Volume I , 1958 .
[77] K. Judd. Numerical methods in economics , 1998 .
[78] Peter F. Christoffersen,et al. Is the Potential for International Diversification Disappearing? , 2010 .
[79] C. Czado,et al. Bayesian inference for multivariate copulas using pair-copula constructions. , 2010 .
[80] Jianqing Fan,et al. High dimensional covariance matrix estimation using a factor model , 2007, math/0701124.
[81] Peter F. Christoffersen,et al. Dynamic Dependence in Corporate Credit , 2013 .
[82] Halbert White,et al. Estimation, inference, and specification analysis , 1996 .
[83] Robert F. Engle,et al. Fitting Vast Dimensional Time-Varying Covariance Models , 2017, Journal of Business & Economic Statistics.
[84] Robert F. Engle,et al. Volatility, Correlation and Tails for Systemic Risk Measurement , 2012 .
[85] M. Wegkamp,et al. Weak Convergence of Empirical Copula Processes , 2004 .
[86] Stefan Straetmans,et al. Banking System Stability: A Cross-Atlantic Perspective , 2005, SSRN Electronic Journal.
[87] L. Glosten,et al. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .