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person:"Stoimenov, Pavel A."
~person:"Wied, Dominik"
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Search: subject_exact:"Copula function"
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Stoimenov, Pavel A.
Wied, Dominik
Okhrin, Ostap
38
Smith, Michael S.
21
Tiwari, Aviral Kumar
21
Reboredo, Juan Carlos
19
Härdle, Wolfgang
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ECONIS (ZBW)
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1
Estimation and inference in factor copula models with exogenous covariates
Mayer, Alexander
;
Wied, Dominik
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1500-1521
Persistent link: https://www.econbiz.de/10014471408
Saved in:
2
Model and moment selection in factor copula models
Duan, Fang
;
Manner, Hans
;
Wied, Dominik
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 45-75
Persistent link: https://www.econbiz.de/10012878186
Saved in:
3
Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
Kaldorf, Matthias
;
Wied, Dominik
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10013334611
Saved in:
4
Detecting structural breaks in factor copula models and in vectors of dependence measures
Stark, Florian
-
2019
Persistent link: https://www.econbiz.de/10012061878
Saved in:
5
A monitoring procedure for detecting structural breaks in factor copula models
Manner, Hans
;
Stark, Florian
;
Wied, Dominik
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 171-192
Persistent link: https://www.econbiz.de/10012657681
Saved in:
6
Testing for relevant dependence change in financial data : a CUSUM copula approach
Kutzker, Tim
;
Stark, Florian
;
Wied, Dominik
- In:
Empirical economics : a quarterly journal of the …
60
(
2021
)
4
,
pp. 1875-1894
Persistent link: https://www.econbiz.de/10012490683
Saved in:
7
Testing for structural breaks in factor copula models
Manner, Hans
;
Stark, Florian
;
Wied, Dominik
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 324-345
Persistent link: https://www.econbiz.de/10012145023
Saved in:
8
Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel
;
Jäschke, Stefan
;
Wied, Dominik
-
2013
Persistent link: https://www.econbiz.de/10009793510
Saved in:
9
An order for asymmetry in copulas, and implications for risk management
Siburg, Karl Friedrich
;
Stehling, Katharina
;
Stoimenov, …
-
2013
Persistent link: https://www.econbiz.de/10010222900
Saved in:
10
Modelling dependence of extreme events in energy markets using tail copulas
Jäschke, Stefan
;
Siburg, Karl Friedrich
;
Stoimenov, …
-
2011
Persistent link: https://www.econbiz.de/10008841122
Saved in:
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