The DOI matches its Crossref record; 66 of the 66 references it cites were found in a registry or an index.
Copula Modeling: An Introduction for Practitioners
Open accessAbstract
This article explores the copula approach for econometric modeling of joint parametric distributions. Although theoretical foundations of copulas are complex, this text demonstrates that practical implementation and estimation are relatively straightforward. An attractive feature of parametrically specified copulas is that estimation and inference are based on standard maximum likelihood procedures, and thus copulas can be estimated using desktop econometric software. This represents a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Discrete Choice Methods with Simulation
Train, K. E. (2001) · doi:10.1017/cbo9780511805271 · Cited by 7,784
Nelsen, R. B. (1999) · Lecture Notes in Statistics · doi:10.1007/978-1-4757-3076-0 · Cited by 7,744
Regression Analysis of Count Data
Cameron, A. C., & Trivedi, P. K. (2013) · doi:10.1017/cbo9781139013567 · Cited by 6,640
Self-citation(1976) · Annals of Economic and Social Measurement · Cited by 5,035
Non-Uniform Random Variate Generation
Devroye, L. (1986) · Springer eBooks · doi:10.1007/978-1-4613-8643-8 · Cited by 4,041
Empirical properties of asset returns: stylized facts and statistical issues
Cont, R. (2001) · Quantitative Finance · doi:10.1080/713665670 · Cited by 3,486
Multivariate Models and Dependence Concepts.
Ringrose, T., & Joe, H. (1998) · Biometrics · doi:10.2307/2533875 · Cited by 3,403
Schweizer, B., & Sklar, A. (1983) · CERN Document Server (European Organization for Nuclear Research) · Cited by 2,643
CLAYTON, D. G. (1978) · Biometrika · doi:10.1093/biomet/65.1.141 · Cited by 2,113
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
Patton, A. J. (2006) · International Economic Review · doi:10.1111/j.1468-2354.2006.00387.x · Cited by 2,112
Cherubini, U., Luciano, E., & Vecchiato, W. (2004) · Wiley eBooks · doi:10.1002/9781118673331 · Cited by 2,009
Correlation and Dependence in Risk Management: Properties and Pitfalls
Paul Embrechts, A., McNeil, A. J., & Straumann, D. (2002) · Cambridge University Press eBooks · doi:10.1017/cbo9780511615337.008 · Cited by 1,991
A Multivariate Exponential Distribution
Marshall, A. W., & Olkin, I. (1967) · Journal of the American Statistical Association · doi:10.1080/01621459.1967.10482885 · Cited by 1,582
Generalized Latent Variable Modeling: Multilevel, Longitudinal, and Structural Equation Models
Skrondal, A., & Rabe‐Hesketh, S. (2004) · Thammasat University Digital Collections · Cited by 1,505
Analysis of Multivariate Survival Data
Hougaard, P. (2000) · Statistics for Biology and Health · doi:10.1007/978-1-4612-1304-8 · Cited by 1,458
Generalized Econometric Models with Selectivity
Lee, L.-F. (1983) · Econometrica · doi:10.2307/1912003 · Cited by 1,426
Understanding Relationships Using Copulas
Frees, E. W., & Valdez, E. A. (1998) · North American Actuarial Journal · doi:10.1080/10920277.1998.10595667 · Cited by 1,257
On Default Correlation: A Copula Function Approach
Li, D. X. (2000) · The Journal of Fixed Income · doi:10.3905/jfi.2000.319253 · Cited by 1,257
Statistical Inference Procedures for Bivariate Archimedean Copulas
Genest, C., & Rivest, L.-P. (1993) · Journal of the American Statistical Association · doi:10.1080/01621459.1993.10476372 · Cited by 1,251
Regression Analysis when the Dependent Variable Is Truncated Normal
Amemiya, T. (1973) · Econometrica · doi:10.2307/1914031 · Cited by 1,129
On the simultaneous associativity ofF(x, y) andx+y−F(x, y)
Frank, M. J. (1979) · Aequationes Mathematicae · doi:10.1007/bf02189866 · Cited by 1,116
Simulation-based Econometric Methods
Gouriéroux, C., & Monfort, A. (1997) · doi:10.1093/0198774753.001.0001 · Cited by 1,038
The Joy of Copulas: Bivariate Distributions with Uniform Marginals
Genest, C., & Mackay, J. (1986) · The American Statistician · doi:10.1080/00031305.1986.10475414 · Cited by 790
Multivariate Generalizations of the Proportional Hazards Model
Clayton, D., & Cuzick, J. (1985) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2981943 · Cited by 625
Generalized Multivariate Analysis
Fang, K.-T., & Zhang, Y.-T. (1990) · Medical Entomology and Zoology · Cited by 612
On Nonparametric Measures of Dependence for Random Variables
Schweizer, B., & Wolff, E. F. (1981) · The Annals of Statistics · doi:10.1214/aos/1176345528 · Cited by 601
A class of multivanate failure time distributions
HOUGAARD, P. (1986) · Biometrika · doi:10.1093/biomet/73.3.671 · Cited by 581
A Microeconometric Model of the Demand for Health Care and Health Insurance in Australia
Cameron, A. C., Trivedi, P. K., Milne, F., & Piggott, J. (1988) · The Review of Economic Studies · doi:10.2307/2297531 · Cited by 481
A Model for Association in Bivariate Survival Data
Oakes, D. (1982) · Journal of the Royal Statistical Society Series B (Statistical Methodology) · doi:10.1111/j.2517-6161.1982.tb01222.x · Cited by 477
Mari, D. D. (2001) · IMPERIAL COLLEGE PRESS eBooks · doi:10.1142/9781860949753 · Cited by 454
Estimation of consumer demand systems with binding non-negativity constraints
Wales, T. J., & Woodland, A. D. (1983) · Journal of Econometrics · doi:10.1016/0304-4076(83)90046-5 · Cited by 439
Copulas for Finance - A Reading Guide and Some ApplicationsPreprint
Bouyé, É., Durrleman, V., Nikeghbali, A., Riboulet, G., & Roncalli, T. (2007) · SSRN Electronic Journal · doi:10.2139/ssrn.1032533 · Cited by 426
Estimation of multivariate models for time series of possibly different lengths
Patton, A. J. (2006) · Journal of Applied Econometrics · doi:10.1002/jae.865 · Cited by 421
Chen, X., & Fan, Y. (2006) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.07.027 · Cited by 402
Dependence patterns across financial markets: a mixed copula approach
Hu, L. (2006) · Applied Financial Economics · doi:10.1080/09603100500426515 · Cited by 393
Multivariate Dispersion Models Generated From Gaussian Copula
Xue‐Kun Song, P. (2000) · Scandinavian Journal of Statistics · doi:10.1111/1467-9469.00191 · Cited by 352
Risk Management: Value at Risk and Beyond
Dempster, M. A. H. (2002) · Cited by 349
Bayes inference in the Tobit censored regression model
Chib, S. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90030-u · Cited by 327
Machado, J. A. F., & Silva, J. M. C. S. (2005) · Journal of the American Statistical Association · doi:10.1198/016214505000000330 · Cited by 319
The identifiability of the competing risks model
HECKMAN, J. J., & HONORÉ, B. E. (1989) · Biometrika · doi:10.1093/biomet/76.2.325 · Cited by 316
Efficient Bayesian inference for Gaussian copula regression models
Pitt, M., Chan, D., & Kohn, R. (2006) · Biometrika · doi:10.1093/biomet/93.3.537 · Cited by 256
Annuity Valuation with Dependent Mortality
Frees, E. W., Carriere, J., & Valdez, E. (1996) · The Journal of Risk and Insurance · doi:10.2307/253744 · Cited by 252
A Family of Distributions for Modelling Non-Elliptically Symmetric Multivariate Data
Cook, R. D., & Johnson, M. E. (1981) · Journal of the Royal Statistical Society Series B (Statistical Methodology) · doi:10.1111/j.2517-6161.1981.tb01173.x · Cited by 242
Markov Chain Monte Carlo Analysis of Correlated Count Data
Chib, S., & Winkelmann, R. (2001) · Journal of Business & Economic Statistics · doi:10.1198/07350010152596673 · Cited by 240
Gifts of money and gifts of time estimating the effects of tax prices and available time
Brown, E., & Lankford, H. (1992) · Journal of Public Economics · doi:10.1016/0047-2727(92)90032-b · Cited by 207
Modelling sample selection using Archimedean copulas
Smith, M. D. (2003) · Econometrics Journal · doi:10.1111/1368-423x.00101 · Cited by 196
Constraints on concordance measures in bivariate discrete data
Denuit, M., & Lambert, P. (2005) · Journal of Multivariate Analysis · doi:10.1016/j.jmva.2004.01.004 · Cited by 179
Uniform Representations of Bivariate Distributions
Kimeldori, G., & Sampson, A. R. (1975) · Communications in Statistics - Simulation and Computation · doi:10.1080/03610928308827274 · Cited by 151
Maximization by Parts in Likelihood Inference
Song, P. X. ‐., Fan, Y., & Kalbfleisch, J. D. (2005) · Journal of the American Statistical Association · doi:10.1198/016214505000000204 · Cited by 151
Using Trivariate Copulas to Model Sample Selection and Treatment Effects
Zimmer, D. M., & Trivedi, P. K. (2005) · Journal of Business and Economic Statistics · doi:10.1198/073500105000000153 · Cited by 147
Self-citationMeasurement of aggregate risk with copulas
Junker, M., & May, A. (2005) · Econometrics Journal · doi:10.1111/j.1368-423x.2005.00173.x · Cited by 140
Cameron, A. C., Li, T., Trivedi, P. K., & Zimmer, D. M. (2004) · Econometrics Journal · doi:10.1111/j.1368-423x.2004.00144.x · Cited by 140
Self-citationMunkin, M. K., & Trivedi, P. K. (1999) · Econometrics Journal · doi:10.1111/1368-423x.00019 · Cited by 124
Genius, M., & Strazzera, E. (2004) · SSRN Electronic Journal · doi:10.2139/ssrn.546522 · Cited by 119
Multivariate extreme‐value distributions with applications to environmental data
Joe, H. (1994) · Canadian Journal of Statistics · doi:10.2307/3315822 · Cited by 117
Scale—Invariant Correlation Theory
Hoeffding, W. (1994) · Springer series in statistics · doi:10.1007/978-1-4612-0865-5_4 · Cited by 111
Copulas, marginals, and joint distributions
Marshall, A. W. (1996) · Lecture notes-monograph series · doi:10.1214/lnms/1215452620 · Cited by 87
A flexible parametric selection model for non‐normal data with application to health care usage
Prieger, J. E. (2002) · Journal of Applied Econometrics · doi:10.1002/jae.638 · Cited by 80
Inversions and Rank Correlation Coefficients
Durbin, J., & Stuart, A. (1951) · Journal of the Royal Statistical Society Series B (Statistical Methodology) · doi:10.1111/j.2517-6161.1951.tb00095.x · Cited by 79
Multivariate distributions generated from mixtures of convolution and product families
Marshall, A. W., & Olkin, I. (1990) · Lecture notes-monograph series · doi:10.1214/lnms/1215457574 · Cited by 78
A Parametric Model for Cluster Correlated Categorical Data
Meester, S., & MacKay, J. (1994) · Biometrics · doi:10.2307/2533435 · Cited by 68
On the recovery of joint distributions from limited information
Miller, D. J., & Liu, W. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00123-3 · Cited by 50
Modeling Selectivity in Count-Data Models
van Ophem, H. (2000) · Journal of Business and Economic Statistics · doi:10.1080/07350015.2000.10524889 · Cited by 50
Exploratory Tobit Factor Analysis for Multivariate Censored Data
Kamakura, W. A., & Wedel, M. (2001) · Multivariate Behavioral Research · doi:10.1207/s15327906mbr3601_03 · Cited by 36
Multivariate Modelling of Time Series Count Data: An Autoregressive Conditional Poisson ModelPreprint
Heinen, A., & Rengifo, E. W. (2003) · RePEc: Research Papers in Economics · Cited by 20
Robustness, Redundancy, and Validity of Copulas in Likelihood Models
Prokhorov, A. B., & Schmidt, P. S. (2005) · Cited by 4
Cited by
Where is the land of Opportunity? The Geography of Intergenerational Mobility in the United States *
Chetty, R., Hendren, N., Kline, P., & Saez, E. (2014) · The Quarterly Journal of Economics · doi:10.1093/qje/qju022 · Cited by 2,922
Multivariate Standardized Drought Index: A parametric multi-index model
Hao, Z., & AghaKouchak, A. (2013) · Advances in Water Resources · doi:10.1016/j.advwatres.2013.03.009 · Cited by 960
The Effects of Traditional and Social Earned Media on Sales: A Study of a Microlending Marketplace
Stephen, A. T., & Galak, J. (2012) · Journal of Marketing Research · doi:10.1509/jmr.09.0401 · Cited by 600
A new probabilistic method for quantifying n‐dimensional ecological niches and niche overlap
Swanson, H. K., Lysy, M., Power, M., Stasko, A. D., Johnson, J. D., & Reist, J. D. (2015) · Ecology · doi:10.1890/14-0235.1 · Cited by 522
Where is the Land of Opportunity? The Geography of Intergenerational Mobility in the United States
Chetty, R., Hendren, N., Kline, P., & Saez, E. (2014) · National Bureau of Economic Research · doi:10.3386/w19843 · Cited by 298
Metadata
- Authors
- Trivedl, P. K., & Zimmer, D. M.
- Venue
- Foundations and Trends in Econometrics
- Publisher
- Emerald
- Published
- 2007-04-25
- Volume
- 1
- Issue
- 1
- Pages
- 1-111
- ISSN
- 1551-3076 (ISSN-L)
- 1551-3084
- OpenAlex
- W2001249527
- Cited by
- 867
- References
- 66
- FWCI
- 50.19
- Type
- journal article
- Language
- en
- Open access
- diamond
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
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.
