Search Results

Trending Mixture Copula Models with Copula Selection,
Bingduo Yang, Zongwu Cai, Christian Hafner and Guannan Liu, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Copula, Time-Varying Copula, Mixture Copula, Copula Selection

Trending Mixture Copula Models with Copula Selection,
Bingduo Yang, Zongwu Cai, Christian Hafner and Guannan Liu, from University of Kansas, Department of Economics (2018)
Keywords: Copula, Time-Varying Copula, Mixture Copula, Copula Selection

LOCAL ESTIMATION OF DYNAMIC COPULA MODELS,
Beatriz V. M. Mendes and Eduardo F. L. de Melo, in International Journal of Theoretical and Applied Finance (IJTAF) (2010)
Keywords: Copulas, local maximum likelihood estimation, GARCH models, Value-at-Risk

On the Use of Copula for Quality Control Based on an AR(1) Model,
Timothy M. Young, Ampalavanar Nanthakumar and Hari Nanthakumar, in Mathematics (2021)
Keywords: copula; model; autocorrelation; statistical process control

Discriminant analysis on high dimensional Gaussian copula model,
Yong He, Xinsheng Zhang and Pingping Wang, in Statistics & Probability Letters (2016)
Keywords: Classification; Gaussian copula model; Rotate-and-Solve;

Constraining kernel estimators in semiparametric copula mixture models,
Gildas Mazo and Yaroslav Averyanov, in Computational Statistics & Data Analysis (2019)
Keywords: Copula; Kernel; Semiparametric; Nonparametric; Mixture model; Clustering;

Practical approach to dependence modelling using copulas,
A Dutfoy and R Lebrun, in Journal of Risk and Reliability (2009)
Keywords: dependence modelling; copula; measure of association; dependence information

Copula-based semiparametric models for multivariate time series,
Bruno Rémillard, Nicolas Papageorgiou and Frédéric Soustra, in Journal of Multivariate Analysis (2012)
Keywords: Conditional copulas; Markov models; Pseudo likelihood; Ranks;

Semiparametric Estimation and Model Selection for Conditional Mixture Copula Models,
Guannan Liu, Wei Long, Bingduo Yang and Zongwu Cai, from University of Kansas, Department of Economics (2021)
Keywords: Conditional copula; Mixture copula; Model selection; Semiparametric estimation

Multinomial choice models based on Archimedean copulas,
Jörg Schwiebert, in AStA Advances in Statistical Analysis (2016)
Keywords: Archimedean copulas, Multinomial choice model, Multinomial logit model, Multinomial probit model, Nested Archimedean copulas

Factor Tree Copula Models for Item Response Data,
Sayed H. Kadhem and Aristidis K. Nikoloulopoulos, in Psychometrika (2023)
Keywords: conditional dependence, factor copula models, latent variable models, truncated vine copula models

Model and Moment Selection in Factor Copula Models*,
Fang Duan, Hans Manner and Dominik Wied, in Journal of Financial Econometrics (2022)
Keywords: factor copula model, model selection, moment selection, value-at-risk

Copula Models of COVID-19 Mortality in Minnesota and Wisconsin,
Xianhui Lei and Arkady Shemyakin, in Risks (2023)
Keywords: COVID-19; mortality; time series (ARIMA) models; copula models; elliptic copulas; Archimedean family

Modeling Asymmetric Dependence Structure of Air Pollution Characteristics: A Vine Copula Approach,
Mohd Sabri Ismail, Nurulkamal Masseran, Mohd Almie Alias and Sakhinah Abu Bakar, in Mathematics (2024)
Keywords: air pollution; joint distribution; multivariate modelling; asymmetric copula; vine copula

Time series copula models using d-vines and v-transforms,
Martin Bladt and Alexander J. McNeil, in Econometrics and Statistics (2022)
Keywords: Time series; Volatility models; Copulas; v-transforms; Vine copulas;

Probabilistic Event Based Rainfall-Runoff Modeling Using Copula Functions,
Sajjad Abdollahi, Ali Mohammad Akhoond-Ali, Rasoul Mirabbasi and Jan Franklin Adamowski, in Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA) (2019)
Keywords: Copula, Rainfall-runoff modelling, Nested Archimedean copula, Reliability index

Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study,
Carluccio Bianchi, Dean Fantazzini, Maria Elena De Giuli and Mario Maggi, from University of Pavia, Department of Economics and Quantitative Methods (2009)
Keywords: Copulas, Copula-GARCH models, Maximum Likelihood, Simulation, Small Sample Properties.

Small sample properties of copula-GARCH modelling: a Monte Carlo study,
Carluccio Bianchi, Maria Elena De Giuli, Dean Fantazzini and Mario Maggi, in Applied Financial Economics (2011)
Keywords: copulas, copula-GARCH models, maximum likelihood, simulation, small sample properties,

Copula-based dynamic models for multivariate time series,
Bouchra R. Nasri and Bruno N. Rémillard, in Journal of Multivariate Analysis (2019)
Keywords: Copulas; Dynamic models; Generalized error models; Goodness-of-fit; Time series;

Copula-based direct utility models for correlated choice alternatives,
Chul Kim, Duk Bin Jun and Sungho Park, in Quantitative Marketing and Economics (QME) (2022)
Keywords: Copula, Direct utility models, Multiple-discrete/continuous choice, Gaussian copula, FGM copula

Periodic Copula Autoregressive Model Designed to Multivariate Streamflow Time Series Modelling,
Guilherme Armando Almeida Pereira and Álvaro Veiga, in Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA) (2019)
Keywords: Non-linear models, Stochastic streamflow simulation, Copula models for multivariate streamflow time series, Periodic multivariate copula model

Dynamic structured copula models,
Wolfgang Härdle, Ostap Okhrin and Okhrin Yarema, in Statistics & Risk Modeling (2013)
Keywords: Copula, multivariate distribution, Archimedean copula, adaptive estimation, Copula, multivariate distribution, Archimedean copula, adaptive estimation

Copula Particle Filters,
Carlos E. Rodríguez and Stephen G. Walker, in Computational Statistics & Data Analysis (2021)
Keywords: State space model; Mixture of copulas; Gaussian copula;

Frailty models and copulas: similarities and differences,
Klara Goethals, Paul Janssen and Luc Duchateau, in Journal of Applied Statistics (2008)
Keywords: bivariate survival data, Clayton-Oakes copula, positive stable frailty, shared gamma frailty model,

Bayesian Inference for a 1-Factor Copula Model,
Ban Tan, Anastasios Panagiotelis and George Athanasopoulos, from Monash University, Department of Econometrics and Business Statistics (2017)
Keywords: model averaging, reversible jump MCMC, vine copulas, dimension reduction, multidimensional poverty index.

Vine copula based structural equation models,
Claudia Czado, in Computational Statistics & Data Analysis (2025)
Keywords: Structural equation models; Bayesian networks; Vine copulas; D-vine regression;

Modelling Volatile Time Series with V-Transforms and Copulas,
Alexander J. McNeil, in Risks (2021)
Keywords: time series; volatility; probability-integral transform; ARMA model; copula

Bayesian multivariate nonlinear state space copula models,
Alexander Kreuzer, Luciana Dalla Valle and Claudia Czado, in Computational Statistics & Data Analysis (2023)
Keywords: Bayesian inference; Copulas; Hamiltonian Monte Carlo; State space models;

Mixed copula model with stochastic correlation for CDO pricing,
Jianli Chen, Zhen Liu and Shenghong Li, in Economic Modelling (2014)
Keywords: Copula; Factor model; Correlation skew; Stochastic correlation; CDO;

Testing for structural breaks in factor copula models,
Hans Manner, Florian Stark and Dominik Wied, in Journal of Econometrics (2019)
Keywords: Factor copula model; Fluctuation test; Simulated method of moments;

Extension of Spot Recovery Model for Gaussian Copula,
Hui Li, from University Library of Munich, Germany (2009)
Keywords: CDO, Gaussian Copula, Stochastic Recovery, Spot Recovery Model

Estimation of Copula-Based Semiparametric Time Series Models,
Yanqin Fan and Xiaohong Chen, from Econometric Society (2004)
Keywords: Copula; Nonlinear Markov models; Semiparametric estimation;Conditional quantile

Copula-based regression models with data missing at random,
Shigeyuki Hamori, Kaiji Motegi and Zheng Zhang, in Journal of Multivariate Analysis (2020)
Keywords: Calibration estimation; Generalized regression model; Missing at random (MAR); Semiparametric copula;

A censored copula model for micro-level claim reserving,
Olivier Lopez, in Insurance: Mathematics and Economics (2019)
Keywords: Claim reserving, copula models, Kaplan–Meier estimator, censoring;

Copula based dependent censoring in cure models,
Morine Delhelle and Ingrid Van Keilegom, from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2023)
Keywords: Copulas ; Cure models ; Dependent censoring ; Identifiability ; Inference ; Survival analysis

A Copula Discretization of Time Series-Type Model for Examining Climate Data,
Dimuthu Fernando, Olivia Atutey and Norou Diawara, in Mathematics (2024)
Keywords: count time series; copula; bivariate models

Estimation of Contagion: Bayesian Model Averaging on Tail Dependence of Mixture Copula,
Sundusit Saekow, Phisanu Chiawkhun, Woraphon Yamaka, Nawapon Nakharutai and Parkpoom Phetpradap, in Mathematics (2024)
Keywords: Bayesian model averaging; contagion; copula; tail dependence

Analysis of the Parametric Correlation in Mathematical Modeling of In Vitro Glioblastoma Evolution Using Copulas,
Jacobo Ayensa-Jiménez, Marina Pérez-Aliacar, Teodora Randelovic, José Antonio Sanz-Herrera, Mohamed H. Doweidar and Manuel Doblaré, in Mathematics (2020)
Keywords: copulas; design of experiments; glioblastoma multiforme; mathematical modelling

A Bayesian nonparametric mixture model for grouping dependence structures and selecting copula functions,
Haoxin Zhuang, Liqun Diao and Grace Y. Yi, in Econometrics and Statistics (2022)
Keywords: Copula; Dependence Modeling; Dirichlet Process; Grouping; MCMC;

Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models,
Martin Burda and Artem Prokhorov, from University of Toronto, Department of Economics (2013)
Keywords: Nonparametric copula; nonparametric consistency; mixture modeling

The Copula ADCC-GARCH model can help PIIGS to fly,
José Luis Miralles-Quirós and María del Mar Miralles-Quirós, in Journal of International Financial Markets, Institutions and Money (2017)
Keywords: PIIGS; Copulas; Multivariate GARCH models; Optimization problems;

Copula based factorization in Bayesian multivariate infinite mixture models,
Martin Burda and Artem Prokhorov, in Journal of Multivariate Analysis (2014)
Keywords: Nonparametric copula; Nonparametric consistency; Mixture modeling;

The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests,
Elisabetta Strazzera and Margarita Genius, from Fondazione Eni Enrico Mattei (2004)
Keywords: Contingent valuation, Selectivity bias, Bivariate models, Copulas

Copula-based maximum-likelihood estimation of sample-selection models,
Takuya Hasebe, in Stata Journal (2013)
Keywords: heckmancopula, switchcopula, copula method, sample-selection models

A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting,
Carluccio Bianchi, Alessandro Carta, Dean Fantazzini, Maria Elena De Giuli and Mario A. Maggi, from University of Pavia, Department of Economics and Quantitative Methods (2009)
Keywords: Forecasting, Industrial Production, Copulas, VAR models.

The copula approach of sampling selection modelling: an application to the recreational value of forests,
Margarita Genius and Elisabetta Strazzera, from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2003)
Keywords: contingent valuation;selectivity bias;bivariate models;copulas

Modeling Multivariate Distributions Using Copulas: Applications in Marketing,
Peter Danaher and Michael Smith, in Marketing Science (2011)
Keywords: Bayesian estimation, discrete copula, Markov chain Monte Carlo, Gaussian copula, media modeling, probability models, website page views

Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models,
Rangan Gupta and Anandamayee Majumdar, from University of Pretoria, Department of Economics (2014)
Keywords: House Price, Copula Models, Forecasting

Time-Varying Mixture Copula Models with Copula Selection,
Bingduo Yang, Zongwu Cai, Christian Hafner and Guannan Liu, from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2022)
Keywords: Copula Selection ; EM Algorithm ; Mixture Copula ; SCAD ; Time-Varying Distribution

Semiparametric Conditional Mixture Copula Models with Copula Selection,
Zongwu Cai, Guannan Liu, Wei Long and Xuelong Luo, from University of Kansas, Department of Economics (2024)
Keywords: Conditional Copula; Mixture Copula; Semiparametric Estimation; Copula Selection; SCAD; EM algorithm.

Invariant dependence structures and Archimedean copulas,
Fabrizio Durante, Piotr Jaworski and Radko Mesiar, in Statistics & Probability Letters (2011)
Keywords: Archimedean copula; Clayton model; Copula; Tail dependence;

Assessing copula models for mixed continuous-ordinal variables,
Pan Shenyi and Joe Harry, in Dependence Modeling (2024)
Keywords: parametric copula, empirical beta copula, Kullback-Leibler divergence, location-scale mixture models, normal scores, ordinal regression, polyserial correlation

GARCH copula quantile regression model for risk spillover analysis,
Maoxi Tian and Hao Ji, in Finance Research Letters (2022)
Keywords: Systemic risk spillover; CoVaR; Copula quantile regression model; GARCH copula model;

Bayesian comparison of bivariate Copula-GARCH and MGARCH models,
Justyna Mokrzycka, in Central European Journal of Economic Modelling and Econometrics (2019)
Keywords: Bayesian model comparison, Copula-GARCH model, Multivariate GARCH model, Monte Carlo Importance Sampling

Latent Gaussian copula models for longitudinal binary data,
Cheng Peng, Yihe Yang, Jie Zhou and Jianxin Pan, in Journal of Multivariate Analysis (2022)
Keywords: Generalized estimating equation; Joint mean-correlation model; Latent Gaussian copula model; Longitudinal binary data; Semiparametric model;

Dynamic copula models for the spark spread,
Fred Espen Benth and Paul Kettler, in Quantitative Finance (2010)
Keywords: Mathematical finance, Copulas, Derivative pricing models, Asymmetry, Empirical time series analysis, Energy derivatives, Levy process, Numerical simulation,

An empirical analysis of multivariate copula models,
Matthias Fischer, Christian Kock, Stephan Schluter and Florian Weigert, in Quantitative Finance (2009)
Keywords: KS-copula, Hierarchical Archimedian, Product copulas, Pair-copula decomposition,

Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models,
Dirk Prange and Wolfgang Scherer, in Quantitative Finance (2009)
Keywords: Copulas, Correlation modelling, Credit derivatives, Credit models,

Partial correlation with copula modeling,
Jong-Min Kim, Yoon-Sung Jung, Taeryon Choi and Engin A. Sungur, in Computational Statistics & Data Analysis (2011)
Keywords: Partial correlation Gaussian copula Gene network

Financial Applications of Copula-Models,
Henry Penikas, in Journal of the New Economic Association (2010)
Keywords: copula, archimidienne, extreme, risk, hedging, duration

Multivariate dependence modeling using copulas,
Marta Cardin and Maddalena Manzi, from Department of Applied Mathematics, Università Ca' Foscari Venezia (2008)
Keywords: copula, density function, FGM copulas, dependence, symmetry

The Analysis of Bivariate Truncated Data Using the Clayton Copula Model,
Wang Antai, in The International Journal of Biostatistics (2007)
Keywords: copula models, goodness-of-fit tests, the clayton model, bivariate truncated data

A copula approach to test asymmetric information with applications to predictive modeling,
Peng Shi and Emiliano Valdez, in Insurance: Mathematics and Economics (2011)
Keywords: Adverse selection Moral hazard Insurance Copula models Predictive models

The Interdependence between Rainfall and Temperature: Copula Analyses,
Rong-Gang Cong and Mark Brady, from University Library of Munich, Germany (2012)
Keywords: Copula model; Agricultural economics

Copula-Based Factor Models for Multivariate Asset Returns,
Eugen Ivanov, Aleksey Min and Franz Ramsauer, in Econometrics (2017)
Keywords: COPAR model; dynamic factor model; multivariate time series; optimal mean-variance portfolio; vine copula

Application of Copulas to Modelling of Marriage Reverse Annuity Contract,
Joanna Dębicka, Stanisław Heilpern and Agnieszka Marciniuk, in Prague Economic Papers (2020)
Keywords: Longevity risk, dependent lifetimes, reverse annuity contract, selling model, multistate model, copula, equity release contracts

Bayesian Model Choice of Grouped t-Copula,
Xiaolin Luo and Pavel V. Shevchenko, in Methodology and Computing in Applied Probability (2012)
Keywords: Grouped t-copula, Dependence modeling, Bayesian model choice, Markov chain Monte Carlo, Foreign exchange

Age-specific copula-AR-GARCH mortality models,
Tzuling Lin, Chou-Wen Wang and Cary Chi-Liang Tsai, in Insurance: Mathematics and Economics (2015)
Keywords: Stochastic mortality model; AR-GARCH; Copula; Mortality dependence; Lee–Carter model;

Copula modelling of dependence in multivariate time series,
Michael Smith, in International Journal of Forecasting (2015)
Keywords: Copula model; Nonlinear multivariate time series; Bayesian model averaging; Multivariate stationarity;

Regime-Switching Extension of the NIG Factor Copula Model,
Anna Schlösser, from Springer (2011)
Keywords: Hide Markov Model, Time Segment, Default Probability, Credit Spread, Copula Model

A Comparison Study of Copula Models for Europea Financial Index Returns,
Paula V. Tofoli, Flavio A. Ziegelmann and Osvaldo Candido, in International Journal of Economics and Finance (2017)
Keywords: copula-GARCH, IFM method, Markov switching model, time-varying copulas, value at risk

Copula-statistical precipitation forecasting model in Australia’s agro-ecological zones,
Thong Nguyen-Huy, Ravinesh C. Deo, Duc-Anh An-Vo, Shahbaz Mushtaq and Shahjahan Khan, in Agricultural Water Management (2017)
Keywords: Copula-statistical models; Seasonal precipitation forecasting; Vine copulas; Joint distribution; Goodness of fit; Climate indices;

Copula information criterion for model selection with two-stage maximum likelihood estimation,
Vinnie Ko and Nils Lid Hjort, in Econometrics and Statistics (2019)
Keywords: Akaike information criterion; Copula; Copula information criterion; Inference functions for margins; Model robust; Two-stage maximum likelihood;

Collateralized Debt Obligations' Valuation Using the One Factor Gaussian Copula Model,
Petra Buzková and Petr Teply, in Prague Economic Papers (2012)
Keywords: Collateralized Debt Obligations, Copula Function, valuation, securitization, One Factor Gaussian Copula Model

Copulas and dependence models in credit risk: diffusions versus jumps,
Elisa Luciano, from University Library of Munich, Germany (2006)
Keywords: credit risk, correlated defaults, structural models, Lévy processes, copula functions, factor copula

Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications,
German Bernhart, Marcos Escobar Anel, Jan-Frederik Mai and Matthias Scherer, in Metrika: International Journal for Theoretical and Applied Statistics (2013)
Keywords: Portfolio default model, Scale mixture of Marshall-Olkin copulas, Hierarchical copula, Portfolio loss distribution, CDO pricing,

Sklar’s theorem, copula products, and ordering results in factor models,
Ansari Jonathan and Rüschendorf Ludger, in Dependence Modeling (2021)
Keywords: componentwise convex copulas, concordance order, conditional distribution function, conditional independence, factor model, product of copulas

Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation,
Matthias D. Aepli, Karl Frauendorfer, Roland Fuess and Florentina Paraschiv, from University of St. Gallen, School of Finance (2015)
Keywords: Multivariate dynamic copulas, regime-switching copulas, dynamic conditional correlation (DCC) model, forecast performance, tail dependence.

Copulas and Dependence models in Credit Risk: Diffusions versus Jumps,
Elisa Luciano, from ICER - International Centre for Economic Research (2007)
Keywords: credit risk, correlated defaults, structural models, Lévy processes, copula functions, factor copula

Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models,
Jerald F. Lawless and Yildiz E. Yilmaz, in Computational Statistics & Data Analysis (2011)
Keywords: Semiparametric maximum likelihood Model misspecification Pseudolikelihood Clayton copula Gumbel-Hougaard copula Frank copula

Modeling Financial Contagion using Copula,
Pedro Valls Pereira and Ricardo Pires de Souza Santos, in Brazilian Review of Finance (2011)
Keywords: Contagion, Time Varying Copula

A Regression Model for the Copula Graphic Estimator,
Simon Lo and Ralf Wilke, from University of Nottingham, School of Economics (2011)
Keywords: Archimedean copula, dependent censoring

Multivariate Copula Models at Work: Outperforming the desert island copula?,
Matthias J. Fischer, Christian Köck, Stephan Schlüter and Florian Weigert, from Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics (2007)
Keywords: KS-copula, Hierarchical Archimedian, Product copulas, Pair-copula decomposition

Dynamic dependence ordering for Archimedean copulas and distorted copulas,
Arthur Charpentier, from HAL (2008)
Keywords: Archimedean copulas,Cox model,dependence,distorted copulas,ordering AMS subject

Dynamic dependence ordering for Archimedean copulas and distorted copulas,
Arthur Charpentier, from HAL (2008)
Keywords: Archimedean copulas,Cox model,dependence,distorted copulas,ordering AMS subject

Systemic risk and copula models,
Georg Ch. Pflug and Alois Pichler, in Central European Journal of Operations Research (2018)
Keywords: Risk measures, Convex order relations, Stochastic dominance, Copula

FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK,
Sung Ik Kim and Young Shin Kim, in International Journal of Theoretical and Applied Finance (IJTAF) (2021)
Keywords: Normal tempered stable distribution, factor copula model, collateralized debt obligation, credit derivatives

Measuring Risk of Portfolio: GARCH-Copula Model,
Chaker Aloui and Samia Ben Messaoud, in Journal of Economic Integration (2015)
Keywords: GJR-GARCH; Copula Model; Portfolio Risk; Value at Risk; Conditional Value at Risk

On partially Schur-constant models and their associated copulas,
Lefèvre Claude, in Dependence Modeling (2021)
Keywords: Schur-constant model, Archimedean copula, partial exchangeability, multivariate monotonicity, bivariate survival functions

Exact Maximum Likelihood Estimation for Copula Models,
Jin Zhang and Wing Long Ng, from COMISEF (2010)
Keywords: Copula Models, Parameter Inference, Exactly Maximum Likelihood, Differential Evolution, Threshold Accepting