Common Factors in Conditional Distributions for Bivariate Time Series

No abstract is available for this paper.

• Publication year

  2006

• Venue

  Journal of Econometrics

• Publication date

  2006-05-01

• Fields of study

  Mathematics, Economics

• Identifiers
  DOI 10.2139/SSRN.513023
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• ESTIMATION , INFERENCE AND SPECIFICATION ANALYSIS

  2008cited by this paper
• Chi-Squared Tests of Interval and Density Forecasts, and the Bank of England's Fan Charts

  2003cited by this paper
• Risk Management: Value at Risk and Beyond

  2003cited by this paper
• An evaluation of the Survey of Professional Forecasters probability distributions of expected inflation and output growth

  2002cited by this paper
• Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls

  2002cited by this paper
• Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula

  2001influential reference
• Estimation of Copula Models for Time Series of Possibly Different Length

  2001cited by this paper
• An Introduction to Copulas

  2000cited by this paper
• Correlation: Pitfalls and Alternatives

  1999cited by this paper
• An Introduction to Copulas

  1998cited by this paper
• Common cycles and the importance of transitory shocks to macroeconomic aggregates (revised version)

  1998cited by this paper
• Multivariate Models and Dependence Concepts

  1998influential reference
• Autoregressive Conditional Density Estimation

  1994cited by this paper
• Implications of Aggregation with Common Factors

  1987cited by this paper
• Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation

  1982cited by this paper
• Fonctions de repartition a n dimensions et leurs marges

  1959cited by this paper
• Mathematical Statistics

  1944cited by this paper

• Symmetric (h, ϕ)-divergence approach to serial independence testing

  2025cites this paper
• A semiparametric Bayesian estimator of copula density

  2025cites this paper
• EPU Spillovers and Stock Return Predictability: A Cross-Country Study

  2022cites this paper
• Conditional Dynamic Dependence and Risk Spillover between Crude Oil Prices and Foreign Exchange Rates: New Evidence from a Dynamic Factor Copula Model

  2022cites this paper
• Evaluation of government performance from foreign currency exchange market : A comparison of martial law administrator and civilian government through factor copula statistical model

  2021influential citation
• Reflection of government performance from foreign exchange market through engineered mechanism using conditional copula model

  2020cites this paper
• Correlation Situation Forecasting of Economic Indicators Based on Partial Least Squares and Kernel Method Regression Model

  2020cites this paper
• Quantifying systemic risk with factor copulas

  2020influential citation
• The dual adjustment approach with an application to the consumption function

  2019cites this paper
• Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects

  2019cites this paper
• Copulas and Long Memory

  2017cites this paper
• Sir Clive W.J. Granger's Contributions to Nonlinear Time Series and Econometrics

  2017cites this paper
• Measuring systemic risk in financial institutions: A factor-copula framework

  2017cites this paper
• A note on nonparametric estimation of copula-based multivariate extensions of Spearman’s rho

  2016cites this paper
• Factor copulas through a vine structure

  2015cites this paper
• Financial Investments and Insurance - Global Trends and the Polish Market

  2015cites this paper
• Quantile cross-spectral measures of dependence between economic variables

  2015influential citation
• Quantile coherency: A general measure for dependence between cyclical economic variables

  2015cites this paper
• A copula approach to assessing Granger causality

  2014cites this paper
• Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula

  2014cites this paper
• Extremal Dependence in International Output Growth: Tales from the Tails

  2014cites this paper
• Granger-causality in quantiles between financial markets: Using copula approach ☆

  2014cites this paper
• Copula-based high dimensional dependence modelling

  2014influential citation
• A unified approach to validating univariate and multivariate conditional distribution models in time series

  2014cites this paper
• Copula Methods for Forecasting Multivariate Time Series

  2013cites this paper
• A review of copula models for economic time series

  2012cites this paper
• Copula-Based Vector Autogressive Models for Bivariate Cointegrated Data

  2012influential citation
• Factor Copula Models and Their Application in Studying the Dependence of the Exchange Rate Returns

  2012cites this paper
• A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew

  2012influential citation
• Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve

  2012influential citation
• Margins and Hedge Fund Contagion

  2011cites this paper
• The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach

  2011cites this paper
• Hedge Fund Leverage and Financial Fragility

  2011cites this paper
• Эконометрический Анализ Финансовых Данных в Задачах Управления Риском (Econometric Analysis of Financial Data in Risk Management (Continuation)- Section III: Managing Operational Risk)

  2011cites this paper
• Change analysis of a dynamic copula for measuring dependence in multivariate financial data

  2010cites this paper
• Essays on infrastructure in Brazil

  2010cites this paper
• Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns

  2010cites this paper
• Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects

  2010cites this paper
• A New Skew-normal Model for the Application-oriented Skew-t Model

  2010influential citation
• Dangers and Opportunities for the Russian Banking Sector: 2007-2008

  2010cites this paper
• Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

  2009cites this paper
• COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES

  2009cites this paper
• Copula-Based Models for Financial Time Series

  2009cites this paper
• Forecasting VAR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy

  2009cites this paper
• Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector

  2009cites this paper
• Modelling and Forecasting the Global Financial Crisis: Initial Findings Using Heterosckedastic Log-Periodic Models

  2009cites this paper
• Modeling electricity spot and futures price dependence: A multifrequency approach

  2009cites this paper
• Measuring the coupled risks: A copula-based CVaR model

  2009cites this paper
• The Flight-to-Quality Effect: A Copula-Based Analysis

  2009cites this paper
• Copulas in Macroeconomics

  2008cites this paper
• The research of copula theoryin in financial risk management

  2008cites this paper
• Increasing Correlations or Just Fat Tails

  2008cites this paper
• COPULAS AND LONG MEMORY 1

  2008cites this paper
• The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model

  2008cites this paper
• Essays on exponential series estimation and applications of copulas in financial econometrics

  2008cites this paper
• Change analysis of dynamic copula for measuring dependence in multivariate financial data

  2008cites this paper
• Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock Models

  2008cites this paper
• Constructing bivariate density forecasts of inflation and output growth using copulae: modelling dependence using the Survey of Professional Forecasters

  2007influential citation
• Estimation and Model Selection of Copulas with an Application to Exchange Rates

  2007cites this paper
• Common Features in Economics and Finance

  2007cites this paper
• Comparison of semiparametric and parametric methods for estimating copulas

  2007cites this paper
• A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA

  2007cites this paper
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

  2006cites this paper
• Discussion of “Copulas: Tales and facts”, by Thomas Mikosch

  2006cites this paper
• INDEX-LINKED LIFE INSURANCE POLICIES : AN ANALYSIS WITH COPULAS

  2006cites this paper
• Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures

  2006cites this paper
• MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a

  2006cites this paper
• CENTRE FOR ECONOMETRIC ANALYSIS

  2005cites this paper
• Documents de Travail du Centre d’Economie de la Sorbonne

  year unknowncites this paper
• Quaderni di Dipartimento A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting

  year unknowninfluential citation
• Centre d’Economie de la Sorbonne

  year unknowncites this paper