Advanced search
Publication Cover
Applied Financial Economics Volume 16, 2006 - Issue 10
Submit an article Journal homepage
2,086
Views
264
CrossRef citations to date
0
Altmetric
Original Articles

Dependence patterns across financial markets: a mixed copula approach

Ling Hu Department of Economics, The Ohio State University, 1945 N. High Street, RM 410, Columbus, OH 43210, USA E-mail: [email protected]
Pages 717-729 | Published online: 15 Aug 2006

Citations (264)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (37)

Shijuan Yang, Jianjun Wang, Jiawei Wu & Yiliu Tu. (2023) Modeling and optimization for multiple correlated responses with distribution variability. IISE Transactions 55:5, pages 480-495.
Read now
Noureddine Benlagha & Wael Hemrit. (2023) Does investment in insurance stocks reap diversification benefits? Static and time varying copula modeling. Communications in Statistics - Simulation and Computation 52:4, pages 1384-1402.
Read now
Hussam Ahmad, Mohammad Amini, Bahram Sadeghpour Gildeh & Adel Ahmadi Nadi. (2023) Copula-based multivariate EWMA control charts for monitoring the mean vector of bivariate processes using a mixture model. Communications in Statistics - Theory and Methods 0:0, pages 1-24.
Read now
Jong-Min Kim, Hojin Jung & Brian Yang. (2022) A revisit to size anomalies in U.S. bank stock returns by panel copula. Applied Economics Letters 29:8, pages 750-754.
Read now
Yousaf Ali Khan & Muneeb Ahmad. (2022) Evaluation of government performance from foreign currency exchange market : A comparison of martial law administrator and civilian government through factor copula statistical model. Journal of Statistics and Management Systems 25:1, pages 77-102.
Read now
O. Ozan Evkaya, Ceylan Yozgatlıgil & A. Sevtap Selcuk-Kestel. (2021) CD-vine model for capturing complex dependence. Journal of Applied Statistics 48:13-15, pages 2406-2420.
Read now
Leming Qu & Yang Lu. (2021) Copula density estimation by finite mixture of parametric copula densities. Communications in Statistics - Simulation and Computation 50:11, pages 3315-3337.
Read now
Waqas Hanif, Jose Arreola-Hernandez, Syed Jawad Hussain Shahzad, Thi Hong Van Hoang & Seong-Min Yoon. (2020) Regional and copula estimation effects on EU and US energy equity portfolios. Applied Economics 52:49, pages 5311-5342.
Read now
Giovanni De Luca, Giorgia Rivieccio & Stefania Corsaro. (2020) Value-at-Risk dynamics: a copula-VAR approach. The European Journal of Finance 26:2-3, pages 223-237.
Read now
Ur Koumba, Calvin Mudzingiri & Jules Mba. (2020) Does uncertainty predict cryptocurrency returns? A copula-based approach. Macroeconomics and Finance in Emerging Market Economies 13:1, pages 67-88.
Read now
Wenwen Qin, Xiaofeng Ji & Feiwen Liang. (2020) Estimation of urban arterial travel time distribution considering link correlations. Transportmetrica A: Transport Science 16:3, pages 1429-1458.
Read now
Rong Li, Zongyi Hu, Sufang Li & Keming Yu. (2019) Dynamic Dependence Structure between Chinese Stock Market Returns and RMB Exchange Rates. Emerging Markets Finance and Trade 55:15, pages 3553-3574.
Read now
Naijing Huang, Zhigang Huang & Weijia Wang. (2019) The Dynamic Extreme Co-Movement between Chinese Stock Market and Global Stock Markets. Emerging Markets Finance and Trade 55:14, pages 3241-3257.
Read now
Huiming Zhu, Rong Duan, Cheng Peng & Xianghua Jia. (2019) The heterogeneous dependence between global crude oil and Chinese commodity futures markets: evidence from quantile regression. Applied Economics 51:28, pages 3031-3048.
Read now
Daniel Reed Bergmann, Jose Roberto Ferreira Savoia, Claudio Felisoni de Angelo, Eduardo Augusto do Rosário Contani & Fabiana Lopes da Silva. (2018) Portfolio management with tail dependence. Applied Economics 50:51, pages 5510-5520.
Read now
Yongwoong Lee, KiHoon Hong & Kisung Yang. (2018) Sovereign Risk Contagion in East Asia: A Mixture of Time-Varying Copulas Approach. Emerging Markets Finance and Trade 54:7, pages 1513-1537.
Read now
Beatrice D. Simo-Kengne, Kofi Agyarko Ababio, Jules Mba, Ur Koumba & Makgale Molepo. (2018) Risk, Uncertainty and Exchange Rate Behavior in South Africa. Journal of African Business 19:2, pages 262-278.
Read now
Katja Ignatieva & Natalia Ponomareva. (2017) Commodity currencies and commodity prices: modelling static and time-varying dependence. Applied Economics 49:15, pages 1491-1512.
Read now
Ming Fang, Ming-Chieh Wang & Chiu-Lan Chang. (2017) An Investigation of the Cross-Strait Economic Integration and Dependence of Stock Markets. Emerging Markets Finance and Trade 53:3, pages 661-669.
Read now
Bing-Yue Liu, Qiang Ji & Ying Fan. (2017) A new time-varying optimal copula model identifying the dependence across markets. Quantitative Finance 17:3, pages 437-453.
Read now
Paulo Horta, Sérgio Lagoa & Luís Martins. (2016) Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas. Quantitative Finance 16:4, pages 625-637.
Read now
Ariel M. Viale, David A. Bessler & James W. Kolari. (2014) On the Structure of Financial Contagion: Econometric Tests and Mercosur Evidence. Journal of Applied Economics 17:2, pages 373-400.
Read now
Zongwu Cai & Xian Wang. (2014) Selection of Mixed Copula Model via Penalized Likelihood. Journal of the American Statistical Association 109:506, pages 788-801.
Read now
Veni Arakelian & Dimitris Karlis. (2014) Clustering Dependencies Via Mixtures of Copulas. Communications in Statistics - Simulation and Computation 43:7, pages 1644-1661.
Read now
Chiu-Lan Chang & PaulL. Hsueh. (2013) An Investigation of the Flight-to-Quality Effect: Evidence from Asia-Pacific Countries. Emerging Markets Finance and Trade 49:sup4, pages 53-69.
Read now
BarryK. Goodwin. (2013) A note on a simplified and general approach to simulating from multivariate copula functions. Applied Economics Letters 20:9, pages 910-915.
Read now
Heng-Chih Chou. (2012) Using the autoregressive conditional duration model to analyse the process of default contagion. Applied Financial Economics 22:13, pages 1111-1120.
Read now
Ke Cheng, Fengbin Lu & Xiaoguang Yang. (2012) Copula contagion index and its efficiency. Applied Financial Economics 22:12, pages 989-1002.
Read now
Chia-Hsun Hsieh & Shian-Chang Huang. (2012) Time-Varying Dependency and Structural Changes in Currency Markets. Emerging Markets Finance and Trade 48:2, pages 94-127.
Read now
Katja Ignatieva, Eckhard Platen & Renata Rendek. (2011) Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index. Journal of Statistical Theory and Practice 5:3, pages 425-452.
Read now
Yi-Hsuan Chen, Kehluh Wang & Anthony H. Tu. (2011) Default correlation at the sovereign level: evidence from some Latin American markets. Applied Economics 43:11, pages 1399-1411.
Read now
Jian Hu. (2010) Dependence structures in Chinese and US financial markets: a time-varying conditional copula approach. Applied Financial Economics 20:7, pages 561-583.
Read now
Evrim Turgutlu & Burcu Ucer. (2010) Is global diversification rational? Evidence from emerging equity markets through mixed copula approach. Applied Economics 42:5, pages 647-658.
Read now
Manuel Ammann & Stephan Süss. (2009) Asymmetric dependence patterns in financial time series. The European Journal of Finance 15:7-8, pages 703-719.
Read now
Enzo Giacomini, Wolfgang Härdle & Vladimir Spokoiny. (2009) Inhomogeneous Dependence Modeling with Time-Varying Copulae. Journal of Business & Economic Statistics 27:2, pages 224-234.
Read now
Qing Xu & Xiao-Ming Li. (2009) Estimation of dynamic asymmetric tail dependences: an empirical study on Asian developed futures markets. Applied Financial Economics 19:4, pages 273-290.
Read now
Yi-Ting Chen. (2007) Moment-Based Copula Tests for Financial Returns. Journal of Business & Economic Statistics 25:4, pages 377-397.
Read now

Articles from other publishers (227)

Pengfei Zhu, Tuantuan Lu, Yue Shang, Zerong Zhang & Yu Wei. (2023) Can China's national carbon trading market hedge the risks of light and medium crude oil? A comparative analysis with the European carbon market. Finance Research Letters 58, pages 104291.
Crossref
Yujian Liu, Dejun Xie, David A. Edwards & Siyi Yu. (2023) Mixture copulas with discrete margins and their application to imbalanced data. Journal of the Korean Statistical Society 52:4, pages 878-900.
Crossref
Yujian Liu, Dejun Xie & Siyi Yu. (2023) Bayesian Mixture Copula Estimation and Selection with Applications. Analytics 2:2, pages 530-545.
Crossref
Poornima Unnikrishnan, Kumaraswamy Ponnambalam, Nirupama Agrawal & Fakhri Karray. (2023) Joint Flood Risks in the Grand River Watershed. Sustainability 15:12, pages 9203.
Crossref
Pengfei Zhu, Yong Tang & Tuantuan Lu. (2023) How Connected is Crude Oil to Stock Sectors Before and After the COVID-19 Outbreak? Evidence from a Novel Network Method. Fluctuation and Noise Letters 22:03.
Crossref
Mobeen Ur Rehman, Paraskevi Katsiampa, Rami Zeitun & Xuan Vinh Vo. (2023) Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. Emerging Markets Review 55, pages 100966.
Crossref
Woraphon Yamaka, Rangan Gupta, Sukrit Thongkairat & Paravee Maneejuk. (2022) Structural and predictive analyses with a mixed copula‐based vector autoregression model. Journal of Forecasting 42:2, pages 223-239.
Crossref
Qiang Liu, Aiping Tang, Zhongyue Wang & Buyue Zhao. (2022) Exploring the road icing risk: considering the dependence of icing-inducing factors. Natural Hazards 115:3, pages 2161-2178.
Crossref
Xi Yang, Zhihe Chen & Min Qin. (2023) Joint probability analysis of streamflow and sediment load based on hybrid copula. Environmental Science and Pollution Research 30:16, pages 46489-46502.
Crossref
Xue Deng & Ying Liang. (2021) Robust Portfolio Optimization Based on Semi-Parametric ARMA-TGARCH-EVT Model with Mixed Copula Using WCVaR. Computational Economics 61:1, pages 267-294.
Crossref
Sven Pappert & Antonia Arsova. 2023. Theory and Applications of Time Series Analysis. Theory and Applications of Time Series Analysis 221 236 .
Rita I.L. Mendes, Luís Gomes & Patrícia Ramos. (2022) Financial Contagion from the Subprime Crisis: A Copula Approach. Scientific Annals of Economics and Business 69:4, pages 501-520.
Crossref
I. Ben Nasr & F. Chebana. (2022) Estimation method for mixture copula models in hydrological context. Journal of Hydrology 615, pages 128603.
Crossref
Kunliang Jiang & Wuyi Ye. (2022) Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?. Economic Modelling 117, pages 106046.
Crossref
Yang Li, Fan Wang, Ye Shen, Yichen Qin & Jiesheng Si. (2022) Selection of mixed copula for association modeling with tied observations. Statistical Methods & Applications 31:5, pages 1127-1180.
Crossref
Maud Korley & Evangelos Giouvris. (2022) The Impact of Oil Price and Oil Volatility Index (OVX) on the Exchange Rate in Sub-Saharan Africa: Evidence from Oil Importing/Exporting Countries. Economies 10:11, pages 272.
Crossref
Jonathan Berrisch, Sven Pappert, Florian Ziel & Antonia Arsova. (2022) Modeling volatility and dependence of European carbon and energy prices. Finance Research Letters, pages 103503.
Crossref
Asil Azimli. (2022) Degree and structure of return dependence among commodities, energy stocks and international equity markets during the post-COVID-19 period. Resources Policy 77, pages 102679.
Crossref
Yanning Sun, Wei Qin & Zilong Zhuang. (2021) Nonparametric-copula-entropy and network deconvolution method for causal discovery in complex manufacturing systems. Journal of Intelligent Manufacturing 33:6, pages 1699-1713.
Crossref
Thomas Nagler, Daniel Krüger & Aleksey Min. (2022) Stationary vine copula models for multivariate time series. Journal of Econometrics 227:2, pages 305-324.
Crossref
Sojung Kim & Stefan Weber. (2022) Simulation methods for robust risk assessment and the distorted mix approach. European Journal of Operational Research 298:1, pages 380-398.
Crossref
Özge Sahin & Claudia Czado. (2022) Vine copula mixture models and clustering for non-Gaussian data. Econometrics and Statistics 22, pages 136-158.
Crossref
Mirza Nazmul Hasan & Roel Braekers. (2021) Modelling the association in bivariate survival data by using a Bernstein copula. Computational Statistics 37:2, pages 781-815.
Crossref
Janani Sri S., Parthajit Kayal & G. Balasubramanian. (2022) Can Equity be Safe-haven for Investment?. Journal of Emerging Market Finance 21:1, pages 32-63.
Crossref
Mushtaq Hussain Khan, Junaid Ahmed & Mazhar Mughal. (2021) Dependence between oil price changes and sectoral stock returns in Pakistan: Evidence from a quantile regression approach. Energy & Environment 33:2, pages 315-331.
Crossref
Guannan Liu, Wei Long, Bingduo Yang & Zongwu Cai. (2021) Semiparametric estimation and model selection for conditional mixture copula models. Scandinavian Journal of Statistics 49:1, pages 287-330.
Crossref
Ibrahim M. Abdalla Alfaki & Amany A. El Anshasy. (2022) Oil rents, diversification and growth: Is there asymmetric dependence? A copula-based inquiry. Resources Policy 75, pages 102495.
Crossref
Jin Seo Cho, Peter C. B. Phillips & Juwon Seo. (2021) PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES. International Economic Review 63:1, pages 391-456.
Crossref
Jianping Li, Lu Wei & Xiaoqian ZhuJianping Li, Lu Wei & Xiaoqian Zhu. 2022. Financial Statements-Based Bank Risk Aggregation. Financial Statements-Based Bank Risk Aggregation 11 42 .
Yong ShiYong Shi. 2022. Advances in Big Data Analytics. Advances in Big Data Analytics 569 641 .
Li Wan, Liyan Han, Yang Xu & Roman Matousek. (2021) Dynamic linkage between the Chinese and global stock markets: A normal mixture approach. Emerging Markets Review 49, pages 100764.
Crossref
Bo Zhu, Renda Lin, Yuanyue Deng, Pingshe Chen & Julien Chevallier. (2021) Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises. Economic Modelling 105, pages 105651.
Crossref
Yu‐Sheng Lai. (2021) Generalized autoregressive score model with high‐frequency data for optimal futures hedging. Journal of Futures Markets 41:12, pages 2023-2045.
Crossref
Akanksha Jalan, Roman Matkovskyy & Larisa Yarovaya. (2021) “Shiny” crypto assets: A systemic look at gold-backed cryptocurrencies during the COVID-19 pandemic. International Review of Financial Analysis 78, pages 101958.
Crossref
Nebojsa Dimic, Vanja Piljak, Laurens Swinkels & Milos Vulanovic. (2021) The structure and degree of dependence in government bond markets. Journal of International Financial Markets, Institutions and Money 74, pages 101385.
Crossref
Pengfei Zhu, Yong Tang, Yu Wei & Tuantuan Lu. (2021) Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic. Energy 231, pages 120949.
Crossref
Anubha Goel & Aparna Mehra. (2020) Robust Omega ratio optimization using regular vines. Optimization Letters 15:6, pages 2067-2108.
Crossref
Jinan Liu & Apostolos Serletis. (2021) Credit cards, the demand for money, and monetary aggregation. Macroeconomic Dynamics, pages 1-34.
Crossref
Fadhah Amer Alanazi. (2021) Sequential Truncation of R-Vine Copula Mixture Model for High-Dimensional Datasets. International Journal of Mathematics and Mathematical Sciences 2021, pages 1-14.
Crossref
Xiu Wei Yeap, Hooi Hooi Lean, Marius Galabe Sampid & Haslifah Mohamad Hasim. (2020) The dependence structure and portfolio risk of Malaysia's foreign exchange rates: the Bayesian GARCH–EVT–copula model. International Journal of Emerging Markets 16:5, pages 952-974.
Crossref
Fadhah Amer Alanazi. (2021) A Mixture of Regular Vines for Multiple Dependencies. Journal of Probability and Statistics 2021, pages 1-15.
Crossref
Vitali Alexeev, Katja Ignatieva & Thusitha Liyanage. (2021) Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals. Studies in Nonlinear Dynamics & Econometrics 25:2.
Crossref
Aviral Kumar Tiwari, Samia Nasreen, Shawkat Hammoudeh & Refk Selmi. (2021) Dynamic dependence of oil, clean energy and the role of technology companies: New evidence from copulas with regime switching. Energy 220, pages 119590.
Crossref
F. Marta L. Di Lascio, Andrea Menapace & Maurizio Righetti. (2021) Analysing the relationship between district heating demand and weather conditions through conditional mixture copula. Environmental and Ecological Statistics 28:1, pages 53-72.
Crossref
Y. A. Khan, Y. M. Chu & S. Z. Abbas. (2021) Reflection of government performance from foreign exchange market through engineered mechanism using conditional copula model. Journal of Intelligent & Fuzzy Systems 40:1, pages 833-847.
Crossref
Nikolas T. Martzikos, Panayotis E. Prinos, Constantine D. Memos & Vasiliki K. Tsoukala. (2021) Key research issues of coastal storm analysis. Ocean & Coastal Management 199, pages 105389.
Crossref
Saeed Asadi & Mazin A. M. Al Janabi. (2020) Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets. European Actuarial Journal 10:2, pages 425-456.
Crossref
Xiaoyu Bai, Hui Jiang, Chen Li & Lei Huang. (2020) Joint probability distribution of coastal winds and waves using a log-transformed kernel density estimation and mixed copula approach. Ocean Engineering 216, pages 107937.
Crossref
A. Do, R. Powell, J. Yong & A. Singh. (2020) Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. The North American Journal of Economics and Finance 54, pages 101096.
Crossref
Weixing Zhao, Qianwen Shao, Xiaokang Wu, Min Xie, Shujia Li & Binbin Huang. (2020) Microgrid Dynamic Economic dispatching Considering Wind-Solar Complementary Characteristics. Microgrid Dynamic Economic dispatching Considering Wind-Solar Complementary Characteristics.
Vaishali Tyagi, Ritu Arora, Mangey Ram & Ioannis S. Triantafyllou. (2020) Copula based Measures of Repairable Parallel System with Fault Coverage. International Journal of Mathematical, Engineering and Management Sciences 6:1, pages 322-344.
Crossref
Asil Azimli. (2020) The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach. Finance Research Letters 36, pages 101648.
Crossref
Mathias Mandla Manguzvane & John Weirstrass Muteba Mwamba. (2019) GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?. Empirical Economics 59:4, pages 1573-1604.
Crossref
Guilherme Cardoso, Karem Ribeiro & Luciano Carvalho. (2020) Volatility and dependence structures of Latin American stock markets. Managerial Finance 47:4, pages 441-465.
Crossref
Debojyoti Das & M. Kannadhasan. (2020) The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach. International Review of Economics & Finance 69, pages 563-581.
Crossref
Zhe Yan, Zhiping Chen, Giorgio Consigli, Jia Liu & Ming Jin. (2019) A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems. Annals of Operations Research 292:2, pages 849-881.
Crossref
Xiaoyang Yao, Wei Le, Xiaolei Sun & Jianping Li. (2020) Financial stress dynamics in China: An interconnectedness perspective. International Review of Economics & Finance 68, pages 217-238.
Crossref
Claudiu Tiberiu Albulescu, Aviral Kumar Tiwari & Qiang Ji. (2020) Copula-based local dependence among energy, agriculture and metal commodities markets. Energy 202, pages 117762.
Crossref
Prince Osei Mensah & Anokye M. Adam. (2020) Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana. Risks 8:2, pages 55.
Crossref
Minchao Zheng, Zhiqing Meng & Rui Shen. (2020) Research on Two-Level Price-Fluctuation Supply Chain Ordering Strategy Problem. Discrete Dynamics in Nature and Society 2020, pages 1-14.
Crossref
Aviral Kumar Tiwari, Nader Trabelsi, Faisal Alqahtani & Ibrahim D. Raheem. (2020) Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches. Energy Economics 86, pages 104646.
Crossref
Guannan Liu, Wei Long, Xinyu Zhang & Qi Li. (2018) DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS. Econometric Theory 35:4, pages 777-815.
Crossref
E. AddoJrJr, E. K. Chanda & A. V. Metcalfe. (2018) Spatial Pair-Copula Model of Grade for an Anisotropic Gold Deposit. Mathematical Geosciences 51:5, pages 553-578.
Crossref
Jiahao Wan, Quanfu Zheng, Ming Xiao, Xuebin Wang, Hao Su & Donghan Feng. (2019) Complementarity Analysis and Evaluation of Renewable Energy Stations based on Mixed-Copula Model. Complementarity Analysis and Evaluation of Renewable Energy Stations based on Mixed-Copula Model.
Hsiang-Hsi Liu, Teng-Kun Wang & Weny Li. (2019) Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach. Research in International Business and Finance 48, pages 381-396.
Crossref
Ruili Sun, Tiefeng Ma, Shuangzhe Liu & Milind Sathye. (2019) Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. Journal of Risk and Financial Management 12:1, pages 48.
Crossref
Wanbing Zhang, Sisi Zhang & Peibiao Zhao. (2019) On Double Value at Risk. Risks 7:1, pages 31.
Crossref
Wahbeeah Mohti, Andreia Dionísio, Paulo Ferreira & Isabel Vieira. (2019) Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis. Economies 7:1, pages 15.
Crossref
Roman Matkovskyy. (2019) Centralized and decentralized bitcoin markets: Euro vs USD vs GBP. The Quarterly Review of Economics and Finance 71, pages 270-279.
Crossref
Xiwen Bai & Jasmine Siu Lee Lam. (2019) A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price. Energy Economics 78, pages 412-427.
Crossref
Anubha Goel, Amita Sharma & Aparna Mehra. (2019) Robust optimization of mixed CVaR STARR ratio using copulas. Journal of Computational and Applied Mathematics 347, pages 62-83.
Crossref
Lan Zhang & V. P. Singh. 2019. Copulas and their Applications in Water Resources Engineering. Copulas and their Applications in Water Resources Engineering 62 122 .
Martin Burda & Louis Bélisle. (2019) Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo. Dependence Modeling 7:1, pages 133-149.
Crossref
Yuanyuan Zhang, Stephen Chan, Jeffrey Chu & Saralees Nadarajah. (2019) Stylised facts for high frequency cryptocurrency data. Physica A: Statistical Mechanics and its Applications 513, pages 598-612.
Crossref
Rochus Niemierko, Jannick Töppel & Timm Tränkler. (2019) A D-vine copula quantile regression approach for the prediction of residential heating energy consumption based on historical data. Applied Energy 233-234, pages 691-708.
Crossref
Sukrit Thongkairat, Woraphon Yamaka & Nopasit Chakpitak. 2019. Structural Changes and their Econometric Modeling. Structural Changes and their Econometric Modeling 474 487 .
Sukrit Thongkairat, Woraphon Yamaka & Songsak Sriboonchitta. 2019. Beyond Traditional Probabilistic Methods in Economics. Beyond Traditional Probabilistic Methods in Economics 818 827 .
Lechuan Yin, Jiebin Chen & Zhao-Rong Lai. (2018) Mixed-Copula VaR for Portfolio Risk Evaluation. Mixed-Copula VaR for Portfolio Risk Evaluation.
Thong Nguyen-Huy, Ravinesh C. Deo, Shahbaz Mushtaq, Jarrod Kath & Shahjahan Khan. (2018) Copula-based agricultural conditional value-at-risk modelling for geographical diversifications in wheat farming portfolio management. Weather and Climate Extremes 21, pages 76-89.
Crossref
Carlin C.F. Chu & Po Kin Chan. (2018) Mining Profitable High Frequency Pairs Trading Forex Signal Using Copula and Deep Neural Network. Mining Profitable High Frequency Pairs Trading Forex Signal Using Copula and Deep Neural Network.
Mariela Fernández & Verónica Andrea González-López. (2018) Cumulative conditional expectation index. Journal of Computational Methods in Sciences and Engineering 18:2, pages 387-403.
Crossref
Saiful Izzuan Hussain & Steven Li. (2018) The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas. Financial Markets and Portfolio Management 32:2, pages 207-233.
Crossref
Barry K. Goodwin, Matthew T. Holt, Gülcan Önel & Jeffrey P. Prestemon. (2017) Copula-based nonlinear modeling of the law of one price for lumber products. Empirical Economics 54:3, pages 1237-1265.
Crossref
Gideon BoakoPaul Alagidede. (2018) Systemic Risks Spillovers and Interdependence among Stock Markets: International Evidence with Covar-Copulas. South African Journal of Economics 86:1, pages 82-112.
Crossref
J.J. Arias-García, H. De Meyer & B. De Baets. (2018) On the construction of radially symmetric copulas in higher dimensions. Fuzzy Sets and Systems 335, pages 30-47.
Crossref
Zhong Chen, Ziqi Zhang, Jiaqing Zhao, Bowen Wu & Xueliang Huang. (2018) An Analysis of the Charging Characteristics of Electric Vehicles Based on Measured Data and Its Application. IEEE Access 6, pages 24475-24487.
Crossref
Tobias Eckernkemper. (2018) Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall. Journal of Financial Econometrics 16:1, pages 63-117.
Crossref
Yi-Chiuan Wang, Jyh-Lin Wu & Yi-Hao Lai. (2018) New evidence on asymmetric return–volume dependence and extreme movements. Journal of Empirical Finance 45, pages 212-227.
Crossref
Khaled Mokni & Faysal Mansouri. (2017) Conditional dependence between international stock markets: A long memory GARCH-copula model approach. Journal of Multinational Financial Management 42-43, pages 116-131.
Crossref
Mária Bohdalová & Michal Greguš. (2017) The Impacts of Brexit on European Equity Markets. Financial Assets and Investing 8:2, pages 5-18.
Crossref
C. Koen & A. Bere. (2017) Modelling bivariate astronomical data with multiple components and non-linear relationships. Monthly Notices of the Royal Astronomical Society 471:3, pages 2771-2777.
Crossref
Min Xie, Peijun Cheng & Shaojia Ke. (2017) Power system dynamic economic dispatch with wind-solar integration based on particle swarm intelligent searching algorithm. Power system dynamic economic dispatch with wind-solar integration based on particle swarm intelligent searching algorithm.
Bing-Yue Liu, Qiang Ji & Ying Fan. (2017) Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model. Energy Economics 68, pages 53-65.
Crossref
Guojun Gan & Emiliano A. Valdez. (2017) Modeling partial Greeks of variable annuities with dependence. Insurance: Mathematics and Economics 76, pages 118-134.
Crossref
Hung Quang Do, László Kónya & Bhatti M. Ishaq. (2017) Capital Market Integration of Selected ASEAN Countries and its Investment Implications. Journal of Economics and Development, pages 5-33.
Crossref
EnDer Su. (2016) Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets. Computational Economics 50:2, pages 325-351.
Crossref
Nii O. Attoh‐Okine. 2017. Big Data and Differential Privacy. Big Data and Differential Privacy 175 195 .
Kai Ma, Shubing Hu, Jie Yang, Chunxia Dou & Josep Guerrero. (2017) Energy Trading and Pricing in Microgrids with Uncertain Energy Supply: A Three-Stage Hierarchical Game Approach. Energies 10:5, pages 670.
Crossref
Madhusudan Karmakar. (2017) Dependence structure and portfolio risk in Indian foreign exchange market: A GARCH-EVT-Copula approach. The Quarterly Review of Economics and Finance 64, pages 275-291.
Crossref
Yingwei Han, Ping Li & Yong Xia. (2017) Dynamic robust portfolio selection with copulas. Finance Research Letters 21, pages 190-200.
Crossref
Rustam Ibragimov & George Lentzas. (2017) Copulas and long memory. Probability Surveys 14:none.
Crossref
Honghai Liu, Zhaojie Ju, Xiaofei Ji, Chee Seng Chan & Mehdi KhouryHonghai Liu, Zhaojie Ju, Xiaofei Ji, Chee Seng Chan & Mehdi Khoury. 2017. Human Motion Sensing and Recognition. Human Motion Sensing and Recognition 123 145 .
Francine Gresnigt, Erik Kole & Philip Hans Franses. (2017) Specification Testing in Hawkes Models. Journal of Financial Econometrics 15:1, pages 139-171.
Crossref
Lanouar Charfeddine & Noureddine Benlagha. (2016) A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets. Journal of Multinational Financial Management 37-38, pages 168-189.
Crossref
Nicholas Sim. (2016) Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach. International Review of Financial Analysis 48, pages 31-45.
Crossref
Cuong Nguyen, M. Ishaq Bhatti, Magda Komorníková & Jozef Komorník. (2016) Gold price and stock markets nexus under mixed-copulas. Economic Modelling 58, pages 283-292.
Crossref
G. Geoffrey Booth & John Paul Broussard. 2016. Extreme Events in Finance. Extreme Events in Finance 443 464 .
Ladislav Gaál, Ján Szolgay, Tomáš Bacigál, Silvia Kohnová, Kamila Hlavčová, Roman Výleta, Juraj Parajka & Günter Blöschl. (2016) Similarity of empirical copulas of flood peak-volume relationships: a regional case study of North-West Austria. Contributions to Geophysics and Geodesy 46:3, pages 155-178.
Crossref
Yi-Ting Chen. (2016) Exceedance Correlation Tests for Financial Returns. Journal of Financial Econometrics 14:3, pages 581-616.
Crossref
Xiaoye Jin. (2016) The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach. Finance Research Letters 17, pages 167-175.
Crossref
David M. Zimmer. (2016) Crop price comovements during extreme market downturns. Australian Journal of Agricultural and Resource Economics 60:2, pages 265-283.
Crossref
Kunlapath Sukcharoen & David J. Leatham. (2016) Dependence and extreme correlation among US industry sectors. Studies in Economics and Finance 33:1, pages 26-49.
Crossref
Huiming Zhu, Yawei Guo, Wanhai You & Yaqin Xu. (2016) The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach. Energy Economics 55, pages 30-41.
Crossref
Selma Jayech. (2016) The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach. European Journal of Operational Research 249:2, pages 631-646.
Crossref
Katja Ignatieva & Stefan Trück. (2016) Modeling spot price dependence in Australian electricity markets with applications to risk management. Computers & Operations Research 66, pages 415-433.
Crossref
Hung Quang Do, M. Ishaq Bhatti & László Kónya. (2016) On ASEAN capital market and industry integration: A review.. Corporate Ownership and Control 13:2, pages 8-22.
Crossref
Bin Tong, Xundi Diao & Chongfeng Wu. (2015) Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector. Economic Modelling 51, pages 366-382.
Crossref
Mariela Fernández, Verónica A. González‐López & Laura R. Rifo. (2014) A note on conjugate distributions for copulas. Mathematical Methods in the Applied Sciences 38:18, pages 4797-4803.
Crossref
Xiaoqian Zhu, Yongjia Xie, Jianping Li & Dengsheng Wu. (2015) Change point detection for subprime crisis in American banking: From the perspective of risk dependence. International Review of Economics & Finance 38, pages 18-28.
Crossref
Gregor N.F. Weiß & Marcus Scheffer. (2015) Mixture pair-copula-constructions. Journal of Banking & Finance 54, pages 175-191.
Crossref
Barry K. Goodwin & Ashley Hungerford. (2014) Copula‐Based Models of Systemic Risk in U.S. Agriculture: Implications for Crop Insurance and Reinsurance Contracts. American Journal of Agricultural Economics 97:3, pages 879-896.
Crossref
Barry K. Goodwin. (2014) Agricultural Policy Analysis: The Good, The Bad, and The Ugly * . American Journal of Agricultural Economics 97:2, pages 353-373.
Crossref
Marinella Masina, Alberto Lamberti & Renata Archetti. (2015) Coastal flooding: A copula based approach for estimating the joint probability of water levels and waves. Coastal Engineering 97, pages 37-52.
Crossref
Guobin Fan, Eric Girardin, Wong K. Wong & Yong Zeng. (2015) The Risk of Individual Stocks’ Tail Dependence with the Market and Its Effect on Stock Returns. Discrete Dynamics in Nature and Society 2015, pages 1-17.
Crossref
Jianping Li, Xiaoqian Zhu, Cheng-Few Lee, Dengsheng Wu, Jichuang Feng & Yong Shi. (2013) On the aggregation of credit, market and operational risks. Review of Quantitative Finance and Accounting 44:1, pages 161-189.
Crossref
Chin-Wen Huang, Chun-Pin Hsu & Wan-Jiun Paul Chiou. 2015. Handbook of Financial Econometrics and Statistics. Handbook of Financial Econometrics and Statistics 233 251 .
Nicholas Sim. 2015. Handbook of Financial Econometrics and Statistics. Handbook of Financial Econometrics and Statistics 1829 1855 .
Long Kang. 2015. Handbook of Financial Econometrics and Statistics. Handbook of Financial Econometrics and Statistics 1431 1449 .
Cheng Lv, Ziyang Zhang, Xiang Ren & Shaojun Li. (2014) Predicting the frequency of abnormal events in chemical process with Bayesian theory and vine copula. Journal of Loss Prevention in the Process Industries 32, pages 192-200.
Crossref
Michal Kaut. (2013) A copula-based heuristic for scenario generation. Computational Management Science 11:4, pages 503-516.
Crossref
Cathy Yi-Hsuan Chen. (2014) Does Fear Spill Over?. Asia-Pacific Journal of Financial Studies 43:4, pages 465-491.
Crossref
Syed Abul Basher, Salem Nechi & Hui Zhu. (2014) Dependence patterns across Gulf Arab stock markets: A copula approach. Journal of Multinational Financial Management 25-26, pages 30-50.
Crossref
Kunlapath Sukcharoen, Tatevik Zohrabyan, David Leatham & Ximing Wu. (2014) Interdependence of oil prices and stock market indices: A copula approach. Energy Economics 44, pages 331-339.
Crossref
Iakovos Kakouris & Berç Rustem. (2014) Robust portfolio optimization with copulas. European Journal of Operational Research 235:1, pages 28-37.
Crossref
Wang Chen, Yu Wei, Qiaoqi Lang, Yu Lin & Maojuan Liu. (2014) Financial market volatility and contagion effect: A copula–multifractal volatility approach. Physica A: Statistical Mechanics and its Applications 398, pages 289-300.
Crossref
Göran Kauermann & Renate Meyer. (2013) Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas. Computational Statistics 29:1-2, pages 283-306.
Crossref
Yibing Chen, Yong Shi, Xianhua Wei & Lingling Zhang. (2014) Domestic Systemically Important Banks: A Quantitative Analysis for the Chinese Banking System. Mathematical Problems in Engineering 2014, pages 1-19.
Crossref
Wuyi Ye, Kebing Luo & Shaofu Du. (2014) Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method. Discrete Dynamics in Nature and Society 2014, pages 1-12.
Crossref
Bin Chen & Yongmiao Hong. (2014) A unified approach to validating univariate and multivariate conditional distribution models in time series. Journal of Econometrics 178, pages 22-44.
Crossref
Hui-Ming Zhu, Rong Li & Sufang Li. (2014) Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns. International Review of Economics & Finance 29, pages 208-223.
Crossref
Nii O. Attoh-Okine. (2013) Pair-copulas in infrastructure multivariate dependence modeling. Construction and Building Materials 49, pages 903-911.
Crossref
Jianjun Xu & Fangzhou Yu. (2013) The Risk Dependence Structure between the Futures and Spot Market -- A Mixture Copula Approach. The Risk Dependence Structure between the Futures and Spot Market -- A Mixture Copula Approach.
Marcin Zagórski & Michał Orkisz. (2013) Dependence structure analysis of the inverter operational data by means of copula theory. Mechanical Systems and Signal Processing 40:2, pages 439-451.
Crossref
Bin Tong, Chongfeng Wu & Chunyang Zhou. (2013) Modeling the co-movements between crude oil and refined petroleum markets. Energy Economics 40, pages 882-897.
Crossref
Daeyoung Kim, Jong-Min Kim, Shu-Min Liao & Yoon-Sung Jung. (2013) Mixture of D-vine copulas for modeling dependence. Computational Statistics & Data Analysis 64, pages 1-19.
Crossref
Yang Wen-ning, Long Wen & Cao Ding-mu. (2013) Copula-based model for portfolio of sector indices. Copula-based model for portfolio of sector indices.
Yi-Hsuan Chen & Anthony H. Tu. (2013) Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk. International Review of Economics & Finance 27, pages 514-528.
Crossref
Yi-Chiuan Wang, Jyh-Lin Wu & Yi-Hao Lai. (2013) A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach. Journal of Banking & Finance 37:5, pages 1706-1719.
Crossref
Wuyang Cheng & Jun Wang. (2013) Dependence phenomenon analysis of the stock market. EPL (Europhysics Letters) 102:1, pages 18004.
Crossref
Daniel Schmidl, Claudia Czado, Sabine Hug & Fabian J. Theis. (2013) A Vine-copula Based Adaptive MCMC Sampler for Efficient Inference of Dynamical Systems. Bayesian Analysis 8:1.
Crossref
Dirk G. Baur. (2013) The structure and degree of dependence: A quantile regression approach. Journal of Banking & Finance 37:3, pages 786-798.
Crossref
Heni Boubaker & Nadia Sghaier. (2013) Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. Journal of Banking & Finance 37:2, pages 361-377.
Crossref
Vijay P. Singh. 2013. Entropy Theory and its Application in Environmental and Water Engineering. Entropy Theory and its Application in Environmental and Water Engineering 213 269 .
Andrew Patton. 2013. 899 960 .
Yan-ping Liu, Jian-hua Liu & Peng Shao. 2013. The 19th International Conference on Industrial Engineering and Engineering Management. The 19th International Conference on Industrial Engineering and Engineering Management 805 813 .
Qian Zhang, Junping Zhang & Chenghai Xue. 2013. Advances in Knowledge Discovery and Data Mining. Advances in Knowledge Discovery and Data Mining 301 313 .
Chia-Hsing Huang & ChienTsung Li. (2012) Using Mixture Copula to Study the Extreme Return Volume Dependence of the Institutional Investors in the Taiwan Stock Market. Korean Journal of Financial Engineering 11:4, pages 133-154.
Crossref
Peter Grundke & Simone Polle. (2012) Crisis and risk dependencies. European Journal of Operational Research 223:2, pages 518-528.
Crossref
Aristidis K. Nikoloulopoulos, Harry Joe & Haijun Li. (2012) Vine copulas with asymmetric tail dependence and applications to financial return data. Computational Statistics & Data Analysis 56:11, pages 3659-3673.
Crossref
Cuong C. Nguyen & M. Ishaq Bhatti. (2012) Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam. Journal of International Financial Markets, Institutions and Money 22:4, pages 758-773.
Crossref
GUOBIN FAN & YONG ZENG. (2012) THE TIMING OF PORTFOLIO ADJUSTMENTS: A REGIME-SWITCHING APPROACH. International Journal of Information Technology & Decision Making 11:05, pages 909-933.
Crossref
M. Ishaq Bhatti & Cuong C. Nguyen. (2012) Diversification evidence from international equity markets using extreme values and stochastic copulas. Journal of International Financial Markets, Institutions and Money 22:3, pages 622-646.
Crossref
Osvaldo Candido da Silva Filho, Flavio Augusto Ziegelmann & Michael J. Dueker. (2012) Modeling dependence dynamics through copulas with regime switching. Insurance: Mathematics and Economics 50:3, pages 346-356.
Crossref

Displaying 200 of 264 citing articles. Use the download link below to view the full list of citing articles.

Download full citations list

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.