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Nonparametric Estimation of Copulas for Time Series. (2003). Scaillet, Olivier ; Fermanian, Jean-David.
In: FAME Research Paper Series.
RePEc:fam:rpseri:rp57.

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  1. A Semi-nonparametric Copula Model for Earnings Mobility. (2023). Gagliardini, Patrick ; Naguib, Costanza.
    In: Diskussionsschriften.
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  2. Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints. (2023). Pivnitskaya, Nataliya ; Munir, Qaiser ; Evgeniia, Mikova ; Teplova, Tamara.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09435-y.

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  3. Approximations of Copulas via Transformed Moments. (2022). Loisel, Stephane ; Albrecher, Hansjoerg ; Mnatsakanov, Robert M.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-022-09969-8.

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  4. We dont need no fancy hedges! Or do we?. (2022). Power, Gabriel J ; Vedenov, Dmitry.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000357.

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  5. Estimation of large dimensional time varying VARs using copulas. (2022). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan.
    In: European Economic Review.
    RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002439.

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  6. Value at Risk and Market Risk: Case of the Regional Securities Exchange. (2020). Diallo, Mouhamadou Saliou.
    In: Applied Economics and Finance.
    RePEc:rfa:aefjnl:v:7:y:2020:i:6:p:19-35.

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  7. Using nonparametric copulas to measure crude oil price co-movements. (2019). Jacho-Chávez, David ; Huynh, Kim ; Jacho-Chavez, David T.
    In: Energy Economics.
    RePEc:eee:eneeco:v:82:y:2019:i:c:p:211-223.

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  8. Bayesian estimation of large dimensional time varying VARs using copulas. (2019). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan.
    In: Papers.
    RePEc:arx:papers:1912.12527.

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  9. Nonparametric Forecasting of Multivariate Probability Density Functions. (2018). Guegan, Dominique ; Iacopini, Matteo.
    In: Working Papers.
    RePEc:ven:wpaper:2018:15.

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  10. Nonparameteric forecasting of multivariate probability density functions. (2018). Iacopini, Matteo ; Guegan, Dominique.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:18012.

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  11. Nonparametric forecasting of multivariate probability density functions. (2018). Iacopini, Matteo ; Guegan, Dominique.
    In: Post-Print.
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  12. Nonparametric forecasting of multivariate probability density functions. (2018). Iacopini, Matteo ; Guegan, Dominique.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01821815.

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  13. Multi-scale causality and extreme tail inter-dependence among housing prices. (2018). Uddin, Gazi ; Yoon, Seong-Min ; Ahmed, Ali ; Kang, Sang Hoon.
    In: Economic Modelling.
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  14. A Legendre multiwavelets approach to copula density estimation. (2017). Chinipardaz, R ; Parham, G ; Chatrabgoun, O.
    In: Statistical Papers.
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  15. Price co-movement and the crack spread in the US futures markets. (2017). Grigoriadis, Vasilis ; Fousekis, Panos.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:7:y:2017:i:c:p:57-71.

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  16. Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets. (2017). Uddin, Gazi ; Bekiros, Stelios.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:17:y:2017:i:1:p:155-162.

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  17. Portfolio Risk Assessment using Copula Models. (2017). Smagulov, Daulet ; Semenov, Mikhail .
    In: Papers.
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  18. Price co-movement and the hedgers value-at-risk in the futures markets for coffee. (2017). Fousekis, Panos.
    In: Agricultural Economics Review.
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  19. Spatial price dependence by time scale: Empirical evidence from the international butter markets. (2016). Fousekis, Panos ; Grigoriadis, Vasilis.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:195-204.

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  20. Mixed data kernel copulas. (2015). Racine, Jeffrey.
    In: Empirical Economics.
    RePEc:spr:empeco:v:48:y:2015:i:1:p:37-59.

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  21. Non-parametric Copula Estimation Under Bivariate Censoring. (2015). Gribkova, Svetlana ; Lopez, Olivier.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:42:y:2015:i:4:p:925-946.

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  22. Moment‐Independent Sensitivity Analysis Using Copula. (2014). Song, Jingwen ; Lu, Zhenzhou ; Wei, Pengfei.
    In: Risk Analysis.
    RePEc:wly:riskan:v:34:y:2014:i:2:p:210-222.

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  23. Granger-Causality in Quantiles between Financial Markets: Using Copula Approach. (2014). Lee, Tae Hwy ; Yang, Weiping .
    In: Working Papers.
    RePEc:ucr:wpaper:201406.

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  24. Analysis of Rainfall Severity and Duration in Victoria, Australia using Non-parametric Copulas and Marginal Distributions. (2014). Rauf, Ummul Abdul ; Zeephongsekul, Panlop.
    In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA).
    RePEc:spr:waterr:v:28:y:2014:i:13:p:4835-4856.

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  25. Granger-causality in quantiles between financial markets: Using copula approach. (2014). Lee, Tae Hwy ; Yang, Weiping .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:33:y:2014:i:c:p:70-78.

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  26. Probit Transformation for Nonparametric Kernel Estimation of the Copula Density. (2014). Paindaveine, Davy ; Charpentier, Arthur ; Geenens, Gery.
    In: Working Papers ECARES.
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  27. Mixed Data Kernel Copulas. (2013). Racine, Jeffrey.
    In: Working Paper series.
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  28. Mixed Data Kernel Copulas. (2013). Racine, Jeffrey.
    In: Department of Economics Working Papers.
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  29. On sample marginal quantiles for stationary processes. (2013). Veredas, David ; Dominicy, Yves ; Hormann, Siegfried ; Ogata, Hiroaki .
    In: Statistics & Probability Letters.
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  30. Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique. (2013). Bucher, Axel ; Ruppert, Martin .
    In: Journal of Multivariate Analysis.
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  31. On the structure and estimation of hierarchical Archimedean copulas. (2013). Okhrin, Ostap ; Schmid, Wolfgang.
    In: Journal of Econometrics.
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  32. Copula Methods for Forecasting Multivariate Time Series. (2013). Patton, Andrew .
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-899.

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  33. Flexible Copula Density Estimation with Penalized Hierarchical B-splines. (2013). Schellhase, Christian ; Kauermann, Goran ; Ruppert, David.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:40:y:2013:i:4:p:685-705.

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  34. Jackknife empirical likelihood method for copulas. (2012). Van Keilegom, Ingrid ; Qi, Yongcheng ; Peng, Liang ; VanKeilegom, Ingrid .
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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  35. Copula structural shift identification. (2012). Brodsky, Boris ; Safaryan, Irina ; Penikas, Henry .
    In: HSE Working papers.
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  36. Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve. (2012). Ng, Cathy ; Chollete, Loran .
    In: UiS Working Papers in Economics and Finance.
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  37. A review of copula models for economic time series. (2012). Patton, Andrew.
    In: Journal of Multivariate Analysis.
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  38. Dependence modeling in non-life insurance using the Bernstein copula. (2012). Eling, Martin ; Diers, Dorothea ; Marek, Sebastian D..
    In: Insurance: Mathematics and Economics.
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  39. Copula density estimation by total variation penalized likelihood with linear equality constraints. (2012). Qu, Leming ; Yin, Wotao .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:2:p:384-398.

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  40. Nonparametric estimation and inference for Granger causality measures. (2012). Taamouti, Abderrahim ; Bouezmarni, Taoufik ; el Ghouch, Anouar .
    In: UC3M Working papers. Economics.
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  41. Nonparametric estimation and inference for Granger causality measures. (2012). Taamouti, Abderrahim ; el Ghouch, Anouar ; Bouezmarni, Taoufik.
    In: UC3M Working papers. Economics.
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  42. Time irreversible copula-based Markov Models. (2012). Beare, Brendan ; Seo, Juwon.
    In: University of California at San Diego, Economics Working Paper Series.
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  43. Nonparametric Estimation and Inference for Granger Causality Measures. (2012). Bouezmarni, Taoufik ; Taamouti, Abderrahim ; el Ghouch, Anouar.
    In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences).
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  44. Symmetry of functions and exchangeability of random variables. (2011). Stoimenov, Pavel ; Siburg, Karl .
    In: Statistical Papers.
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  45. Analysis of multidimensional probability distributions with copula functions. (2011). Fantazzini, Dean.
    In: Applied Econometrics.
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  46. Semiparametric bivariate Archimedean copulas. (2011). Suarez, Alberto ; Hernandez-Lobato, Jose Miguel .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:55:y:2011:i:6:p:2038-2058.

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  47. Wavelet Estimation of Copulas for Time Series. (2011). Chiann, Chang ; Morettin, Pedro A. ; José C. S. de Miranda, ; Clelia M. C. Toloi, .
    In: Journal of Time Series Econometrics.
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  48. Dependence Calibration in Conditional Copulas: A Nonparametric Approach. (2011). Acar, Elif F. ; Craiu, Radu V. ; Yao, Fang.
    In: Biometrics.
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  49. Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach. (2010). Necula, Ciprian.
    In: Journal for Economic Forecasting.
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  50. Fitting high-dimensional Copulae to Data. (2010). Okhrin, Ostap.
    In: SFB 649 Discussion Papers.
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  51. Asymmetric Dependence in US Financial Risk Factors?. (2010). Ning, Cathy ; Chollete, Loran .
    In: UiS Working Papers in Economics and Finance.
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  52. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2010). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Post-Print.
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  53. A multivariate version of Hoeffdings Phi-Square. (2010). Schmid, Friedrich ; Gaier, Sandra ; Ruppert, Martin .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:101:y:2010:i:10:p:2571-2586.

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  54. Tracking a changing copula. (2010). Harvey, Andrew.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:3:p:485-500.

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  55. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2010). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:9:p:1596-1609.

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  56. Wavelet Smoothed Empirical Copula Estimators. (2010). Simon, Jose Carlos ; Chiann, Chang ; de Castro, Clelia Maria ; Morettin, Pedro Alberto .
    In: Brazilian Review of Finance.
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  57. An empirical central limit theorem with applications to copulas under weak dependence. (2009). Doukhan, Paul ; Fermanian, Jean-David ; Lang, Gabriel.
    In: Statistical Inference for Stochastic Processes.
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  58. Detection of Structural Breaks in Copula Models. (2009). Brodsky, Boris ; Safaryan, Irina ; Penikas, Henry .
    In: Applied Econometrics.
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  59. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality. (2009). Taamouti, Abderrahim ; Rombouts, Jeroen ; Bouezmarni, Taoufik ; Jeroen V. K. Rombouts, .
    In: Cahiers de recherche.
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  60. The Dependence Structure of Macroeconomic Variables in the US. (2009). Ning, Cathy ; Chollete, Loran .
    In: UiS Working Papers in Economics and Finance.
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  61. A quantile-copula approach to conditional density estimation. (2009). Faugeras, Olivier.
    In: Journal of Multivariate Analysis.
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  62. Testing for equality between two copulas. (2009). Scaillet, Olivier ; Remillard, Bruno.
    In: Journal of Multivariate Analysis.
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  63. Empirical likelihood based confidence intervals for copulas. (2009). Chen, Jian ; Zhao, Yichuan ; Peng, Liang.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:100:y:2009:i:1:p:137-151.

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  64. A nonparametric copula based test for conditional independence with applications to granger causality. (2009). Taamouti, Abderrahim ; Rombouts, Jeroen ; Bouezmarni, Taoufik ; Jeroen V. K. Rombouts, .
    In: UC3M Working papers. Economics.
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  65. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality. (2009). Taamouti, Abderrahim ; Rombouts, Jeroen ; Bouezmarni, Taoufik.
    In: CIRANO Working Papers.
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  66. WTI crude oil Futures in portfolio diversification: The time-to-maturity effect. (2008). Kharoubi, Cecile ; Geman, Helyette.
    In: Journal of Banking & Finance.
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  67. Linear B-spline copulas with applications to nonparametric estimation of copulas. (2008). Song, Lixin ; Zhu, Yunmin ; Shen, Xiaojing.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:7:p:3806-3819.

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  68. Dynamic distributions and changing copulas. (2008). Harvey, Andrew.
    In: Cambridge Working Papers in Economics.
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  69. Estimation and Model Selection of Copulas with an Application to Exchange Rates. (2007). Manner, Hans.
    In: Research Memorandum.
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  70. Estimation of multivariate models for time series of possibly different lengths. (2006). Patton, Andrew J.
    In: Journal of Applied Econometrics.
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  71. Estimation of multivariate models for time series of possibly different lengths. (2006). Patton, Andrew.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:2:p:147-173.

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  72. Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose. (2006). Ng, Wing Lon .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-086.

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  73. A general approach to integrated risk management with skewed, fat-tailed risks. (2006). Schuermann, Til ; Rosenberg, Joshua.
    In: Journal of Financial Economics.
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  74. Estimating a bivariate density when there are extra data on one or both components. (2005). Neumeyer, Natalie ; Hall, Peter.
    In: Technical Reports.
    RePEc:zbw:sfb475:200528.

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  75. A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets. (2004). van den Goorbergh, Rob.
    In: DNB Working Papers.
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  76. Nonparametric pricing of multivariate contingent claims. (2003). Rosenberg, Joshua.
    In: Staff Reports.
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  77. On the out-of-sample importance of skewness and asymetric dependence for asset allocation. (2002). Patton, Andrew.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24951.

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  78. Estimation of Copula Models for Time Series of Possibly Different Length. (2001). Patton, Andrew.
    In: University of California at San Diego, Economics Working Paper Series.
    RePEc:cdl:ucsdec:qt3fc1c8hw.

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