REFERENCES
- Andrews , D. W. K. 1994 . “Empirical Process Methods in Econometrics,” . In Handbook of Econometrics (Vol. 4) Edited by: McFadden , R. and Engle , D. 2247 – 2294 . Amsterdam: North-Holland
- Andrews , D. W. K. 2001 . “Testing When a Parameter is on the Boundary of the Maintained Hypothesis,” . Econometrica , 69 : 683 – 734 .
- Bollerslev , T. , Engle , R. F. and Nelson , D. B. 1994 . “ARCH Models,” . In Handbook of Econometrics (Vol. 4) Edited by: McFadden , R. F. and Engle , D. 2959 – 3038 . Amsterdam: North-Holland
- Bonhomme , S. and Robin , J.-M. 2009 . “Assessing the Equalizing Force of Mobility Using Short Panels: France, 1990–2000,” . Review of Economic Studies , 76 : 63 – 92 .
- Bouzebda , S. and Zari , T. 2011 . “Strong Approximation of Empirical Copula Processes by Gaussian Processes,” . preprint. Available at http://arxiv.org/pdf/0811.3330.pdf
- Brendstrup , B. and Paarsch , H. J. 2007 . “Semiparametric Identification and Estimation in Multi-Object English Auctions,” . Journal of Econometrics , 141 : 84 – 108 .
- Chan , N.-H. , Chen , J. , Chen , X. , Fan , Y. and Peng , L. 2009 . “Statistical Inference for Multivariate Residual Copula of GARCH Models,” . Statistica Sinica , 19 : 53 – 70 .
- Chen , X. and Fan , Y. 2006 . “Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models Under Copula Misspecification,” . Journal of Econometrics , 135 : 125 – 154 .
- Chen , X. , Fan , Y. and Tsyrennikov , V. 2006 . “Efficient Estimation of Semiparametric Multivariate Copula Models,” . Journal of the American Statistical Association , 101 : 1228 – 1240 .
- Cherubini , U. , Luciano , E. and Vecchiato , W. 2004 . Copula Methods in Finance , England : Wiley .
- Clayton , D. G. 1978 . “A Model for Association in Bivariate Life Tables and Its Application in Epidemiological Studies of Familial Tendency in Chronic Disease Incidence,” . Biometrika , 65 : 141 – 151 .
- Cook , R. D. and Johnson , M. E. 1981 . “A Family of Multivariate Distributions for Modelling Non-Elliptically Symmetric Multivariate Data,” . Journal of the Royal Statistical Society, Series B , 43 : 210 – 218 .
- Demarta , S. and McNeil , A. J. 2005 . “The t Copula and Related Copulas,” . International Statistical Review , 73 : 111 – 129 .
- Embrechts , P. , McNeil , A. and Straumann , D. 2002 . “Correlation and Dependence Properties in Risk Management: Properties and Pitfalls,” . In Risk Management: Value at Risk and Beyond , Edited by: Dempster , M. Cambridge : Cambridge University Press .
- Fermanian , J. , Radulović , D. and Wegkamp , M. 2004 . “Weak Convergence of Empirical Copula Process,” . Bernoulli , 10 : 847 – 860 .
- Fine , J. P. and Jiang , H. 2000 . “On Association in a Copula With Time Transformations,” . Biometrika , 87 : 559 – 571 .
- Genest , C. 1987 . “Frank's Family of Bivariate Distributions,” . Biometrika , 74 : 549 – 555 .
- Genest , C. and Favre , A.-C. 2007 . “Everything You Always Wanted to Know About Copula Modeling But Were Afraid to Ask,” . Journal of Hydrologic Engineering , 12 : 347 – 368 .
- Genest , C. , Ghoudi , K. and Rivest , L.-P. 1995 . “A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions,” . Biometrika , 82 : 543 – 552 .
- Genest , C. and Rivest , L.-P. 1993 . “Statistical Inference Procedures for Bivariate Archimedean Copulas,” . Journal of the American Statistical Association , 88 : 1034 – 1043 .
- Gouriéroux , C. , Monfort , A. and Renault , E. 1996 . “Two-Stage Generalized Moment Method With Applications to Regressions With Heteroscedasticity of Unknown Form,” . Journal of Statistical Planning and Inference , 50 : 37 – 63 .
- Hafner , C. M. and Manner , H. 2012 . “Dynamic Stochastic Copula Models: Estimation, Inference and Applications,” . Journal of Applied Econometrics , 27 : 269 – 295 .
- Hall , A. R. 2000 . “Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test,” . Econometrica , 68 : 1517 – 1528 .
- Hall , A. R. 2005 . Generalized Method of Moments , Oxford : Oxford University Press .
- Hall , A. R. and Inoue , A. 2003 . “The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models,” . Journal of Econometrics , 114 : 361 – 394 .
- Hansen , B. E. 1994 . “Autoregressive Conditional Density Estimation,” . International Economic Review , 35 : 705 – 730 .
- Joe , H. 1997 . Multivariate Models and Dependence Concepts, Monographs in Statistics and Probability 73 , London : Chapman and Hall .
- Joe , H. 2005 . “Asymptotic Efficiency of the Two-Stage Estimation Method for Copula-Based Models,” . Journal of Multivariate Analysis , 94 : 401 – 419 .
- Joe , H. and Xu , J. J. 1996 . “The Estimation Method of Inference Functions for Margins for Multivariate Models,” . Working paper, Department of Statistics, University of British Columbia
- Kim , G. , Silvapulle , M. J. and Silvapulle , P. 2007 . “Comparison of Semiparametric and Parametric Methods for Estimating Copulas,” . Computational Statistics & Data Analysis , 51 : 2836 – 2850 .
- McFadden , D. 1989 . “A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration,” . Econometrica , 47 : 995 – 1026 .
- McNeil , A. J. , Frey , R. and Embrechts , P. 2005 . Quantitative Risk Management , New Jersey : Princeton University Press .
- Nelsen , R. B. 2006 . An Introduction to Copulas (2nd ed.) , New York : Springer .
- Newey , W. K. 1985 . “Generalized Method of Moments Specification Testing,” . Journal of Econometrics , 29 : 229 – 256 .
- Newey , W. K. and McFadden , D. 1994 . “Large Sample Estimation and Hypothesis Testing,” . In Handbook of Econometrics (Vol. 4) Edited by: McFadden , R. and Engle , D. 2111 – 2245 . Amsterdam: North-Holland
- Oh , D.-H. and Patton , A. J. 2011 . “Modelling Dependence in High Dimensions Using Factor Copulas,” . Working paper, Department of Statistics, Duke University
- Pakes , A. and Pollard , D. 1989 . “Simulation and the Asymptotics of Optimization Estimators,” . Econometrica , 47 : 1027 – 1057 .
- Patton , A. J. 2006a . “Modelling Asymmetric Exchange Rate Dependence,” . International Economic Review , 47 : 527 – 556 .
- Patton , A. J. 2006b . “Estimation of Multivariate Models for Time Series of Possibly Different Lengths,” . Journal of Applied Econometrics , 21 : 147 – 173 .
- Rémillard , B. 2010 . “Goodness-of-Fit Tests for Copulas of Multivariate Time Series,” . Working paper, Department of Management Sciences, HEC Montréal
- Rosenberg , J. V. and Schuermann , T. 2006 . “A General Approach to Integrated Risk Management With Skewed, Fat-Tailed Risks,” . Journal of Financial Economics , 79 : 569 – 614 .
- Rothenberg , T. J. 1971 . “Identification of Parametric Models,” . Econometrica , 39 : 577 – 591 .
- Smith , M. S. , Gan , Q. and Kohn , R. J. 2012 . Modelling Dependence Using Skew t Copulas: Bayesian Inference and Applications . Journal of Applied Econometrics , 27 : 500 – 522 .
- Smith , M. , Min , A. , Almeida , C. and Czado , C. 2010 . “Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence,” . Journal of the American Statistical Association , 105 : 1467 – 1479 .
- Song , P. , Fan , Y. and Kalbfleisch , J. 2005 . “Maximization by Parts in Likelihood Inference,” . Journal of the American Statistical Association , 100 : 1145 – 1158 .
- White , H. 1994 . Estimation, Inference and Specification Analysis, Econometric Society Monographs No. 22 , Cambridge : Cambridge University Press .
- White , H. 2000 . “A Reality Check for Data Snooping,” . Econometrica , 68 : 1097 – 1126 .
- Wolak , F. A. 1989 . “Testing Inequality Contraints in Linear Econometic Models,” . Journal of Econometrics , 41 : 205 – 235 .