A review of copula models for economic time series

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Refrences
Title Journal Journal Categories Citations Publication Date
Copula-based semiparametric models for multivariate time series Journal of Multivariate Analysis
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Commerce: Business: Accounting. Bookkeeping
  • Social Sciences: Finance
  • Science: Mathematics
 47 2012
Likelihood inference for Archimedean copulas in high dimensions under known margins Journal of Multivariate Analysis
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Commerce: Business: Accounting. Bookkeeping
  • Social Sciences: Finance
  • Science: Mathematics
 84 2012
Time-dependent copulas Journal of Multivariate Analysis
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Commerce: Business: Accounting. Bookkeeping
  • Social Sciences: Finance
  • Science: Mathematics
 40 2012
Beyond simplified pair-copula constructions Journal of Multivariate Analysis
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Commerce: Business: Accounting. Bookkeeping
  • Social Sciences: Finance
  • Science: Mathematics
 96 2012
Asymmetric correlations of equity portfolios Journal of Financial Economics
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business: Accounting. Bookkeeping
  • Social Sciences: Finance
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2012
Refrences Analysis
Category Category Repetition
Social Sciences: Economic theory. Demography: Economics as a science58
Science: Mathematics41
Social Sciences: Commerce: Business36
Science: Mathematics: Probabilities. Mathematical statistics30
Social Sciences: Finance25
Social Sciences: Statistics20
Social Sciences: Commerce: Business: Accounting. Bookkeeping14
Science: Biology (General)8
Medicine: Medicine (General): Computer applications to medicine. Medical informatics4
Technology: Engineering (General). Civil engineering (General)3
Social Sciences: Commerce: Business: Personnel management. Employment management1
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods1
Technology: Mechanical engineering and machinery1
Technology: Hydraulic engineering: River, lake, and water-supply engineering (General)1
The category Social Sciences: Economic theory. Demography: Economics as a science 58 is the most frequently represented among the references in this article. It primarily includes studies from Journal of Multivariate Analysis and Journal of Econometrics. The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
Title Journal Journal Categories Citations Publication Date
Multivariate simulation‐based forecasting for intraday power markets: Modeling cross‐product price effects

 Applied Stochastic Models in Business and Industry
  • Technology: Manufactures: Production management. Operations management
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Risk spillover measurement of carbon trading market considering susceptible factors: A network perspective

 International Journal of Finance & Economics
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Risk assessment for extreme air pollution events using vine copula Stochastic Environmental Research and Risk Assessment
  • Technology: Engineering (General). Civil engineering (General): Environmental engineering
  • Technology: Engineering (General). Civil engineering (General)
  • Geography. Anthropology. Recreation: Environmental sciences
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Technology: Hydraulic engineering: River, lake, and water-supply engineering (General)
  • Technology: Environmental technology. Sanitary engineering
  • Science: Biology (General): Ecology
  • Technology: Environmental technology. Sanitary engineering
  • Technology: Engineering (General). Civil engineering (General)
 2024
Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context

 Computational Economics
  • Science: Mathematics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business: Personnel management. Employment management
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets International Review of Economics & Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Citations Analysis
Category Category Repetition
Social Sciences: Economic theory. Demography: Economics as a science143
Social Sciences: Commerce: Business139
Social Sciences: Finance83
Science: Mathematics82
Science: Mathematics: Probabilities. Mathematical statistics64
Technology: Engineering (General). Civil engineering (General)36
Social Sciences: Statistics31
Technology: Environmental technology. Sanitary engineering20
Geography. Anthropology. Recreation: Environmental sciences19
Social Sciences: Commerce: Business: Accounting. Bookkeeping18
Science: Mathematics: Instruments and machines: Electronic computers. Computer science17
Science: Biology (General): Ecology16
Technology: Manufactures: Production management. Operations management16
Social Sciences: Commerce: Business: Personnel management. Employment management12
Technology: Hydraulic engineering: River, lake, and water-supply engineering (General)11
Agriculture: Agriculture (General)10
Social Sciences9
Science: Science (General): Cybernetics: Information theory9
Science: Geology8
Technology: Mechanical engineering and machinery7
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods7
Science7
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks7
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics7
Agriculture: Plant culture6
Medicine: Medicine (General): Medical technology6
Science: Biology (General)5
Technology: Mechanical engineering and machinery: Renewable energy sources5
Technology: Electrical engineering. Electronics. Nuclear engineering: Telecommunication5
Science: Mathematics: Instruments and machines: Electronic computers. Computer science: Computer software5
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics: Computer engineering. Computer hardware5
Technology: Technology (General): Industrial engineering. Management engineering5
Science: Chemistry4
Science: Science (General)4
Technology: Technology (General): Industrial engineering. Management engineering: Information technology4
Social Sciences: Industries. Land use. Labor: Special industries and trades: Energy industries. Energy policy. Fuel trade4
Agriculture4
Geography. Anthropology. Recreation: Geography (General)4
Science: Physics3
Science: Chemistry: Analytical chemistry3
Technology: Engineering (General). Civil engineering (General): Environmental engineering3
Social Sciences: Industries. Land use. Labor: Management. Industrial management3
Medicine3
Technology: Electrical engineering. Electronics. Nuclear engineering3
Medicine: Medicine (General): Computer applications to medicine. Medical informatics3
Medicine: Internal medicine: Special situations and conditions: Industrial medicine. Industrial hygiene3
Medicine: Medicine (General)3
Technology: Chemical technology: Chemical engineering2
Science: Mathematics: Instruments and machines2
Science: Physics: Heat: Thermodynamics2
Social Sciences: Sociology (General)2
Technology: Building construction: Architectural engineering. Structural engineering of buildings2
Philosophy. Psychology. Religion: Psychology2
Law: Law in general. Comparative and uniform law. Jurisprudence: Comparative law. International uniform law: Public finance2
Social Sciences: Finance: Insurance2
Technology: Engineering (General). Civil engineering (General): Mechanics of engineering. Applied mechanics1
Science: Physics: Electricity and magnetism: Electricity: Plasma physics. Ionized gases1
Agriculture: Aquaculture. Fisheries. Angling1
Geography. Anthropology. Recreation: Oceanography1
Agriculture: Animal culture1
Geography. Anthropology. Recreation: Recreation. Leisure: Sports1
Science: Astronomy1
Science: Physics: Atomic physics. Constitution and properties of matter1
Science: Chemistry: Physical and theoretical chemistry1
Technology: Motor vehicles. Aeronautics. Astronautics1
Technology: Engineering (General). Civil engineering (General): Systems engineering1
Technology: Technology (General)1
Science: Physics: Optics. Light1
Science: Astronomy: Astrophysics1
Technology: Engineering (General). Civil engineering (General): Transportation engineering1
Social Sciences: Transportation and communications1
Medicine: Public aspects of medicine1
Medicine: Other systems of medicine1
Medicine: Therapeutics. Pharmacology1
Medicine: Public aspects of medicine: Toxicology. Poisons1
Social Sciences: Economic theory. Demography1
Medicine: Internal medicine: Neurosciences. Biological psychiatry. Neuropsychiatry: Neurology. Diseases of the nervous system: Psychiatry1
Medicine: Internal medicine: Neurosciences. Biological psychiatry. Neuropsychiatry: Neurology. Diseases of the nervous system: Psychiatry: Therapeutics. Psychotherapy1
Technology: Home economics: Nutrition. Foods and food supply1
Social Sciences: Industries. Land use. Labor: Special industries and trades: Agricultural industries1
Science: Physics: Meteorology. Climatology1
Social Sciences: Communities. Classes. Races: Urban groups. The city. Urban sociology: City planning1
Technology: Engineering (General). Civil engineering (General): Engineering geology. Rock mechanics. Soil mechanics. Underground construction1
Social Sciences: Commerce: Commercial geography. Economic geography1
Technology: Electrical engineering. Electronics. Nuclear engineering: Production of electric energy or power. Powerplants. Central stations1
The category Social Sciences: Economic theory. Demography: Economics as a science 143 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Copula-Based Semiparametric Models for Multivariate Time Series and was published in 2011. The most recent citation comes from a 2024 study titled Pairs Trading in the German Stock Market: Is There Still Life in the Old Dog?. This article reached its peak citation in 2022, with 47 citations. It has been cited in 184 different journals, 16% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 32 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year