The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
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Citations
Cites
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
A Test for Superior Predictive Ability
Hansen, P. R. (2005) · Journal of Business & Economic Statistics · doi:10.1198/073500105000000063 · Cited by 1,230
Cited by
Copula Modeling: An Introduction for Practitioners
Trivedl, P. K., & Zimmer, D. M. (2007) · Foundations and Trends in Econometrics · doi:10.1561/0800000005 · Cited by 867
A review of copula models for economic time series
Patton, A. J. (2012) · Journal of Multivariate Analysis · doi:10.1016/j.jmva.2012.02.021 · Cited by 584
Copula–Based Models for Financial Time Series
Patton, A. J. (2009) · Handbook of Financial Time Series · doi:10.1007/978-3-540-71297-8_34 · Cited by 360
Copula Methods for Forecasting Multivariate Time Series
Patton, A. (2013) · Handbook of Economic Forecasting · doi:10.1016/b978-0-444-62731-5.00016-6 · Cited by 320
Efficient Estimation of Semiparametric Multivariate Copula Models
Chen, X., Fan, Y., & Tsyrennikov, V. (2006) · Journal of the American Statistical Association · doi:10.1198/016214506000000311 · Cited by 256
Self-citation
Metadata
- Authors
- Chen, X., & Fan, Y.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2006-11
- Volume
- 135
- Issue
- 1-2
- Pages
- 125-154
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2042645953
- Cited by
- 402
- References
- 2
- FWCI
- 17.04
- Type
- journal article
- Language
- en
- Open access
- closed
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- The paper
- Chen, X., & Fan, Y. (2006). Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2005.07.027
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.
