The DOI matches its Crossref record; 81 of the 81 references it cites were found in a registry or an index.
Copula–Based Models for Financial Time Series
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Citations
Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Statistical Methods for Research Workers
(1945) · American Journal of Clinical Pathology · doi:10.1093/ajcp/15.11.552b · Cited by 10,880
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Hamilton, J. D. (1989) · Econometrica · doi:10.2307/1912559 · Cited by 9,646
Nelsen, R. B. (1999) · Lecture Notes in Statistics · doi:10.1007/978-1-4757-3076-0 · Cited by 7,744
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
Vuong, Q. H. (1989) · Econometrica · doi:10.2307/1912557 · Cited by 5,929
Casella, G., & Berger, R. (2024) · Chapman & Hall/CRC eBooks · doi:10.1201/9781003456285 · Cited by 5,711
Fonctions de répartition à N dimensions et leurs marges
Sklar, M. (1959) · HAL · Cited by 4,671
Multivariate Models and Dependence Concepts.
Ringrose, T., & Joe, H. (1998) · Biometrics · doi:10.2307/2533875 · Cited by 3,403
Cited by
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, D., Koopman, S. J., & Lucas, A. (2011) · Journal of Business & Economic Statistics · doi:10.1198/jbes.2011.10070 · Cited by 293
Metadata
- Authors
- Patton, A. J.
- Venue
- Handbook of Financial Time Series
- Publisher
- Springer Berlin Heidelberg
- Published
- 2009
- Pages
- 767-785
- OpenAlex
- W1827554748
- Cited by
- 360
- References
- 81
- FWCI
- 141.37
- Type
- book chapter
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
