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Journal of Business & Economic Statistics Volume 38, 2020 - Issue 2
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Original Articles

Is a Normal Copula the Right Copula?

Dante AmengualCEMFI, Casado del Alisal 5, E-28014Madrid, Spain ([email protected]; [email protected])
&
Enrique SentanaCEMFI, Casado del Alisal 5, E-28014Madrid, Spain ([email protected]; [email protected])
Pages 350-366 | Received 01 Apr 2017, Published online: 05 Nov 2018

Citations (6)

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Read on this site (1)

Dimitris Christopoulos, Peter McAdam & Elias Tzavalis. (2021) Dealing With Endogeneity in Threshold Models Using Copulas. Journal of Business & Economic Statistics 39:1, pages 166-178.
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Articles from other publishers (5)

Kenichiro Shiraya & Tomohisa Yamakami. (2023) Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility. European Journal of Operational Research.
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Dong Hwan Oh & Andrew J. Patton. (2023) Dynamic factor copula models with estimated cluster assignments. Journal of Econometrics, pages 105374.
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Gabriele Fiorentini & Enrique Sentana. (2021) New testing approaches for mean–variance predictability. Journal of Econometrics 222:1, pages 516-538.
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Liang Chen, Juan J. Dolado & Jesús Gonzalo. (2021) Quantile Factor Models. Econometrica 89:2, pages 875-910.
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Jozef Barunik & Matěj Nevrla. (2022) Common Idiosyncratic Quantile Risk. SSRN Electronic Journal.
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