Factor Copula Models is a statistical modeling framework within dependence modeling that uses latent common factors to capture complex multivariate dependencies among observed variables, distinguishing itself from other copula models by explicitly structuring dependence through shared latent variables.
56
Publications
2.6K
Citations
93
Authors
73
Institutions
Publications per year
2017–2026
17
Parents
Publications
56
Basket default swaps, CDOs and factor copulas
Jean‐Paul Laurent, Jon Gregory · The Journal of Risk · 2005 · 265 citations
Factor copula models for multivariate data
Pavel Krupskii, Harry Joe · Journal of Multivariate Analysis · 2013 · 181 citations
1–5 of 56
Authors
93
- AJ
6
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- HJ
5
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- PK
5
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- DH
5
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- JL
4
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1–5 of 93
Institutions
73
Duke University
Durham, United States
6 h-index
7 publications
338 citations
University of British Columbia
Vancouver, Canada
5 h-index
9 publications
685 citations
Federal Reserve Board of Governors
Washington D.C., United States
5 h-index
5 publications
313 citations
Federal Reserve
Washington D.C., United States
4 h-index
4 publications
287 citations
BNP Paribas (France)
Paris, France
3 h-index
4 publications
518 citations
King Abdullah University of Science and Technology
Jeddah, Saudi Arabia
3 h-index
7 publications
400 citations
Stockholm School of Economics
Stockholm, Sweden
2 h-index
2 publications
72 citations
University of Cologne
Cologne, Germany
2 h-index
3 publications
74 citations
1–8 of 73
Venues
- SSRN Electronic Journal
Repository · 6 publications · 147 citations
6
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- Journal of Econometrics
5 publications · 259 citations
5
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- Quantitative Finance
3 publications · 55 citations
3
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- Journal of Multivariate Analysis
2 publications · 253 citations
2
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- Finance and Economics Discussion Series
FEDS · 2 publications · 24 citations
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