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## and Applications (2014)

### Citations

2389 | A generalized autoregressive conditional heteroskedasticity
- Bollerslev
- 1986
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Citation Context ...he third and fourth statistics measure the strength and symmetry of dependence in the tails. The two correlation measures are similar, and are 0.42 and 0.44 on average. Across 12 We considered GARCH (=-=Bollerslev, 1986-=-), EGARCH (Nelson, 1991), and GJR-GARCH (Glosten, et al., 1993) models for the conditional variance of these returns, and for almost all stocks the GJR-GARCH model was preferred according to the BIC. ... |

1902 |
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
- Engle
- 1982
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Citation Context ... copula models (see Hafner and Manner (2012) and Manner and Segers (2011)) allow the varying parameters to evolve as a latent time series process. Others, such as ARCH-type models for volatility (see =-=Engle, 1982-=-) and related models for copulas (see Patton (2006b), Jondeau and Rockinger (2006), and Creal, et al. (2013) for example) model the varying parameters as some function of lagged observables. An advant... |

1315 |
On the relation between the expected value and the volatility of nominal excess return on stocks
- Glosten, Jagannathan, et al.
- 1993
(Show Context)
Citation Context ...ymmetry of dependence in the tails. The two correlation measures are similar, and are 0.42 and 0.44 on average. Across 12 We considered GARCH (Bollerslev, 1986), EGARCH (Nelson, 1991), and GJR-GARCH (=-=Glosten, et al., 1993-=-) models for the conditional variance of these returns, and for almost all stocks the GJR-GARCH model was preferred according to the BIC. 81 all 4950 pairs of assets the rank correlation varies from 0... |

709 | Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models
- Engle, 2002a
(Show Context)
Citation Context ... and return distributions in the literature are interpretable in this framework. We may also rely on the large literature on multivariate second moments such as BEKK (Engle and Kroner, 1995) and DCC (=-=Engle, 2002-=-) for the separate models for the second moments. Second, the proposed model can be easily 3 extended to high dimensions, say 100, and the estimation is feasible and fast. Computational problems often... |

683 | A capital asset pricing model with time varying covariances - Bollerslev, Engle, et al. - 1988 |

672 | Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model - Bollerslev - 1990 |

452 | Autoregressive conditional duration: a new model for irregularly spaced transaction data - Engle, Russell - 1998 |

427 | Extremal Events - Embrechts, Klüppelberg, et al. - 1997 |

422 | ARCH models - Bollerslev, Engle, et al. - 1994 |

370 | Strictly proper scoring rules, prediction, and estimation - Gneiting, Raftery - 2007 |

271 | Autoregressive Conditional Density Estimation - Hansen - 1994 |

243 | The distribution of realized stock return volatility - Andersen, Bollerslev, et al. |

219 | Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. NBER Working Paper No - Engle, Sheppard - 2001 |

210 | Statistical inference procedures for bivariate Archimedean copulas. - Genest, LP - 1993 |

209 |
A model for association in bivariate life tables and its application in epidemiological studies of family tendency in chronic disease incidence
- CLAYTON
- 1978
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Citation Context ...ions, including actuarial science and insurance (Embrechts, McNeil and Straumann, 2002; Rosenberg and Schuermann 2006), economics (Brendstrup and Paarsch 2007; Bonhomme and Robin 2009), epidemiology (=-=Clayton 1978-=-; Fine and Jiang 2000), finance (Cherubini, Luciano and Vecchiato 2004; Patton 2006a), geology and hydrology (Cook and Johnson 1981; Genest and Favre 2007), among many others. An important benefit the... |

192 | Rivest,A semiparametric estimation procedure of dependence parameters in multivariate families of distributions, Biometrika 82 - Genest, Ghoudi, et al. - 1998 |

148 | Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling - Barndorff-Nielsen - 1997 |

120 | The Economics of Structured Finance. - Coval, Jurek, et al. - 2009 |

120 | Generalized method of moments - Hall - 2005 |

119 | Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics, - Aas, Czado, et al. - 2008 |

113 | The t Copula and Related Copulas, - Demarta, McNeil - 2005 |

113 | Valuation of a CDO and nth to Default CDS Without Monte Carlo Simulation - Hull, White |

112 | Comparing density forecasts via weighted likelihood ratio tests", - Amisano, Giacomini - 2007 |

112 | Tests of conditional predictive ability - Giacomini - 2002 |

107 | A simple approximate long-memory model of realized volatility - Corsi - 2009 |

94 | Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings. - Andersen, Sidenius - 2004 |

94 | Everything you always wanted to know about copula modeling but were afraid to ask
- Genest, Favre
- 2007
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Citation Context ... Paarsch 2007; Bonhomme and Robin 2009), epidemiology (Clayton 1978; Fine and Jiang 2000), finance (Cherubini, Luciano and Vecchiato 2004; Patton 2006a), geology and hydrology (Cook and Johnson 1981; =-=Genest and Favre 2007-=-), among many others. An important benefit they provide is the flexibility to specify the marginal distributions separately from the dependence structure, without imposing that they come from the same... |

93 | A note on pseudolikelihood constructed from marginal densities
- Cox
(Show Context)
Citation Context ...994), Cox and Reid (2004) derives the asymptotic behavior of MCLE. For illustration purposes, only CL with adjacent pairs is described in Theorem 4 below, although other CLs could be used. Theorem 4 (=-=Cox and Reid, 2004-=-). Assume ut is iid over t and N is a fixed number. 6 For a given (arbitrary) order of the variables, the “adjacent pairs” CL uses pairs pui,t, ui`1,tq for i “ 1, . . . , N ´ 1. 17 Consider MCLE defin... |

91 | Testing when a parameter is on the boundary of the maintained hypothesis. - Andrews - 2001 |

88 | The Estimation Method of Inference Functions for Margins for Multivariate Models, - Joe, Xu - 1996 |

84 | Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading’, - Barndorff-Nielsen, Hansen, et al. - 2011 |

75 | Frank’s family of bivariate distributions, - Genest - 1987 |

74 | Volatility, Correlation and Tails for Systemic Risk Measurement,” Working - Brownlees, Engle - 2010 |

72 | Volatility and correlation forecasting,” - Andersen, Bollerslev, et al. - 2006 |

72 | 2006a): “Estimation and Model Selection of Semiparametric Copulabased Multivariate Dynamic Models under Copula Misspecification - Chen, Fan |

70 | Frailty correlated default. - Duffie, Eckner, et al. - 2009 |

70 | A Framework for Assessing the Systemic Risk of Major Financial Institutions,” - Huang, Zhou, et al. - 2009 |

68 | Weak convergence of empirical copula processes - Fermanian, Radulovic, et al. - 2004 |

66 | The Copula-GARCH model of conditional dependencies: An international stock market application‖. - Jondeau, Rockinger - 2006 |

60 | Realised kernels in practice: trades and quotes - Barndorff-Nielsen, Hansen, et al. - 2009 |

57 | Econometric analysis of realised covariation: High frequency covariance, regression and correlation in financial economics. - Barndorff-Nielsen, Shephard - 2004 |

56 | Hyperbolic distributions and distributions on hyperbolae. - Barndorff-Nielsen - 1978 |

54 | Asymptotic efficiency of the two-stage estimation method for copulabased models - Joe - 2005 |

52 | Multivariate Models and Dependence Concepts, Chapman & HAll/CRC, - Joe - 1997 |

38 | Generalized Autoregressive Score Models with Applications. Working paper, - Creal, Koopman, et al. - 2010 |

37 |
A family of distributions for modelling non-elliptically symmetric multivariate data.
- Cook, Johnson
- 1981
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Citation Context ...onomics (Brendstrup and Paarsch 2007; Bonhomme and Robin 2009), epidemiology (Clayton 1978; Fine and Jiang 2000), finance (Cherubini, Luciano and Vecchiato 2004; Patton 2006a), geology and hydrology (=-=Cook and Johnson 1981-=-; Genest and Favre 2007), among many others. An important benefit they provide is the flexibility to specify the marginal distributions separately from the dependence structure, without imposing that ... |

37 | Large scale conditional covariance matrix modeling, estimation and testing. UCSD Discussion Paper. - Ding, Engle - 1994 |

33 | Efficient estimation of semiparametric multivariate copula models. - Chen, Fan, et al. - 2006 |

33 | A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations. - Creal, Koopman, et al. - 2011 |

32 | The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models - Hall, Inoue - 2003 |

31 | Garch for Groups, - Engle, Mezrich - 1996 |

29 | Dynamic equicorrelation. - Engle, Kelly - 2012 |

26 | Asymmetric CAPM dependence for large dimensions: The canonical vine autoregressive model. Working paper, Universite catholique de Louvain, Center for Operations Research and Econometrics. - Heinen, Valdesogo - 2008 |

25 | Assessing the equalizing force of mobility using short panels:
- Bonhomme, Robin
- 2009
(Show Context)
Citation Context ...are widely used in a variety of applications, including actuarial science and insurance (Embrechts, McNeil and Straumann, 2002; Rosenberg and Schuermann 2006), economics (Brendstrup and Paarsch 2007; =-=Bonhomme and Robin 2009-=-), epidemiology (Clayton 1978; Fine and Jiang 2000), finance (Cherubini, Luciano and Vecchiato 2004; Patton 2006a), geology and hydrology (Cook and Johnson 1981; Genest and Favre 2007), among many oth... |

25 | Covariance matrix estimation and the power of the overidentifying restrictions test - Hall |

23 | Modelling and forecasting multivariate realized volatility - Chiriac, Voev - 2011 |

22 | Dynamic stochastic copula models: Estimation, inference and applications. - Hafner, Manner - 2011 |

20 | Continuous-time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns.” - Andersen, Bollerslev, et al. - 2009 |

20 | The grouped t-copula with an application to credit risk - Daul, DeGiorgi, et al. |

19 | The bootstrap of the mean for dependent heterogeneous arrays,” Econometric Theory - Gonalves, White - 2002 |

18 | Fitting and testing vast dimensional time-varying covariance models. Finance Working Papers, - Engle, Shephard, et al. - 2007 |

15 | Realized GARCH: A joint model for returns and realized measures of volatility - Hansen, Huang, et al. |

14 | Is the potential for international diversification disappearing? A dynamic copula approach. - Christoffersen, Errunza, et al. - 2012 |

13 | Modeling and forecasting realised volatility - Andersen, Bollerslev, et al. - 2003 |

13 | Vast volatility matrix estimation using high frequency data for portfolio selection. - Fan, Li, et al. - 2010 |

12 | Correlation and dependence properties in risk management: properties - McNeil, Straumann - 2002 |

11 | Empirical process methods in econometrics. Handbook of Econometrics 37 - Andrews - 1994 |

11 | Statistical inference for multivariate residual copula of GARCH models. - Chan, Chen, et al. - 2009 |

11 | Likelihood-based scoring rules for comparing density forecasts in tails”, - Diks, Panchenko, et al. - 2011 |

10 | Beyond simplified pair-copula constructions. Journal of Multivariate Analysis, - Acar, Genest, et al. - 2012 |

9 | Forecasting multivariate realized stock market volatility - Bauer, Vorkink - 2011 |

9 | A simple robust link between American puts and credit protection. - Carr, Wu - 2011 |

9 | Composite likelihood Bayesian information criteria for model selection in high-dimensional data - Gao, Song - 2010 |

8 | Observation driven models for Poisson counts - Davis, Dunsmuir, et al. - 2003 |

8 | Systemic Risk: What Defaults Are Telling - Giesecke, Kim - 2011 |

7 | Semiparametric identification and estimation in multiobject, English auctions.
- Brendstrup, Paarsch
- 2007
(Show Context)
Citation Context ...r multivariate distributions are widely used in a variety of applications, including actuarial science and insurance (Embrechts, McNeil and Straumann, 2002; Rosenberg and Schuermann 2006), economics (=-=Brendstrup and Paarsch 2007-=-; Bonhomme and Robin 2009), epidemiology (Clayton 1978; Fine and Jiang 2000), finance (Cherubini, Luciano and Vecchiato 2004; Patton 2006a), geology and hydrology (Cook and Johnson 1981; Genest and Fa... |

7 | Out-of-sample comparison of copula specifications in multivariate density forecasts. - Diks, Panchenko, et al. - 2010 |

7 | Egarch models with fat tails, skewness and leverage, - Harvey, Sucarrat - 2014 |

6 | Portfolio selection with heavy tails. - Hyung, Vries - 2007 |

5 |
On association in a copula with time transformations
- Fine, Jiang
- 2000
(Show Context)
Citation Context ...g actuarial science and insurance (Embrechts, McNeil and Straumann, 2002; Rosenberg and Schuermann 2006), economics (Brendstrup and Paarsch 2007; Bonhomme and Robin 2009), epidemiology (Clayton 1978; =-=Fine and Jiang 2000-=-), finance (Cherubini, Luciano and Vecchiato 2004; Patton 2006a), geology and hydrology (Cook and Johnson 1981; Genest and Favre 2007), among many others. An important benefit they provide is the flex... |

5 | Extremum Estimation and Numerical Derivatives,” working paper, - Hong, Mahajan, et al. - 2010 |

4 | Fat tails, VaR and subadditivity - Daníelsson, Jorgensen, et al. - 2013 |

4 | Dynamic Models for Volatility and Heavy Tails, Econometric Society Monograph 52 - Harvey - 2013 |

4 | Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?" by Nikolaus Hautsch, - Kyj, Malec |

3 | Statistics and Econometric Models, Volume 2, translated from the French by Q. Vuong, - Gourieroux, Monfort - 1996 |

3 | A blocking and regularization approach to high-dimensional realized covariance estimation - Hautsch, Kyj, et al. - 2012 |

2 | Stationarity and ergodicity of univariate Generalized Autoregressive Score processes. Tinbergen Institute Discussion Papers - Blasques, Koopman, et al. - 2012 |

2 | Strong approximation of empirical copula processes by gaussian processes,” working paper - Bouzebda, Zari - 2011 |

2 | Cross-market and cross-firm effects in implied default probabilities and recovery values,” working paper - Conrad, Dittmar, et al. - 2011 |

2 | Dynamic copula models and high frequency data,” working paper - Salvatierra, I, et al. - 2013 |

2 | Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support”, mimeo - Diks, Panchenko, et al. |

2 | Weak & strong financial fragility. Tinbergen Institute Discussion Paper - Geluk, Haan, et al. - 2007 |

2 | Risk Management and Financial Institutions, Third Edition - Hull - 2012 |

2 | Modeling realized covariances and returns - Jin, Maheu - 2013 |

1 | Modeling high dimensional timevarying dependence using D-vine SCAR models,” working paper - Almeida, Czado, et al. - 2012 |

1 | Dynamic dependence in corporate credit,” working paper - Christoffersen, Jacobs, et al. - 2013 |

1 | Market-based credit ratings,” working paper - Creal, Gramercy, et al. - 2012 |

1 | Bootstrapping twostage extremum estimators,” working paper, Oxford-Man Institute of Quantitative Finance - Gonalves, Hounyo, et al. - 2013 |

1 | The CDS big bang: understanding the changes to the global CDS contract and North American conventions,” research report - Group - 2009 |

1 | On the importance of time variability in higher moments for asset allocation - Jondeau, Rockinger - 2012 |