Modeling Dependence in High Dimensions With Factor Copulas

High dimensional dynamic stochastic copula models

(2015) Drew D. Creal et al.   JOURNAL OF ECONOMETRICS

Factor copula models for multivariate data

(2013) Pavel Krupskii et al.   JOURNAL OF MULTIVARIATE ANALYSIS

Simulated Method of Moments Estimation for Copula-Based Multivariate Models

(2013) Dong Hwan Oh et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Dynamic Equicorrelation

(2012) Robert Engle et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Beyond simplified pair-copula constructions

(2012) Elif F. Acar et al.   JOURNAL OF MULTIVARIATE ANALYSIS

Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

(2012) Jianqing Fan et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Copula structure analysis

(2009) Claudia Klüppelberg et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

High dimensional covariance matrix estimation using a factor model

(2008) Jianqing Fan et al.   JOURNAL OF ECONOMETRICS

Pair-copula constructions of multiple dependence

(2007) Kjersti Aas et al.   INSURANCE MATHEMATICS & ECONOMICS