[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 …
Multivariate C opula A nalysis T oolbox (MvCAT): describing dependence and underlying uncertainty using a B ayesian framework
We present a newly developed Multivariate Copula Analysis Toolbox (MvCAT) which
includes a wide range of copula families with different levels of complexity. MvCAT employs …
includes a wide range of copula families with different levels of complexity. MvCAT employs …
Modeling dependence in high dimensions with factor copulas
This article presents flexible new models for the dependence structure, or copula, of
economic variables based on a latent factor structure. The proposed models are particularly …
economic variables based on a latent factor structure. The proposed models are particularly …
Modeling longitudinal data using a pair-copula decomposition of serial dependence
Copulas have proven to be very successful tools for the flexible modeling of cross-sectional
dependence. In this paper we express the dependence structure of continuous-valued time …
dependence. In this paper we express the dependence structure of continuous-valued time …
Conditional euro area sovereign default risk
We propose an empirical framework to assess the likelihood of joint and conditional
sovereign default from observed CDS prices. Our model is based on a dynamic skewed-t …
sovereign default from observed CDS prices. Our model is based on a dynamic skewed-t …
On the structure and estimation of hierarchical Archimedean copulas
In this paper we provide a method for estimating multivariate distributions defined through
hierarchical Archimedean copulas. In general, the true structure of the hierarchy is unknown …
hierarchical Archimedean copulas. In general, the true structure of the hierarchy is unknown …
Copula‐based models of systemic risk in US agriculture: Implications for crop insurance and reinsurance contracts
BK Goodwin, A Hungerford - American Journal of Agricultural …, 2015 - Wiley Online Library
The federal crop insurance program has been a major fixture of US agricultural policy since
the 1930s, and continues to grow in size and importance. Indeed, it now represents the most …
the 1930s, and continues to grow in size and importance. Indeed, it now represents the most …
High dimensional dynamic stochastic copula models
DD Creal, RS Tsay - Journal of Econometrics, 2015 - Elsevier
We build a class of copula models that captures time-varying dependence across large
panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and …
panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and …
Review of dependence modeling in hydrology and water resources
Various methods have been developed over the past five decades for dependence
modeling of multivariate variables in hydrology and water resources, but there has been no …
modeling of multivariate variables in hydrology and water resources, but there has been no …