Concepedia

Markov Copula Models

Markov Copula Models is a statistical modeling framework that belongs to the class of copula-based dependence models, distinguished by its incorporation of Markovian dynamics to capture temporal dependence through a sequence of copulas conditional on past states.

35

Publications

1.6K

Citations

71

Authors

67

Institutions

Publications per year

2017–2026

12

Parents

Publications

35

Estimation of copula-based semiparametric time series models

Yanqin Fan · Journal of Econometrics · 2005 · 426 citations

, , +17

A multisite daily rainfall generator driven by bivariate copula‐based mixed distributions

Francesco Serinaldi · Journal of Geophysical Research Atmospheres · 2009 · 112 citations

, , +17

Efficient estimation of copula-based semiparametric Markov models

Xiaohong Chen, Wei Biao Wu, Yanping Yi · The Annals of Statistics · 2009 · 72 citations · Full text

, , +17

A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds

Tomasz R. Bielecki, Andrea Vidozzi, Luca Vidozzi · The Journal of Credit Risk · 2008 · 70 citations

, , +17

The dependence structure between crude oil futures prices and Chinese agricultural commodity futures prices: Measurement based on Markov-switching GRG copula

Xiangdong Liu, Fei Pan, Lin Yuan et al. · Energy · 2019 · 64 citations

, , +17

1–5 of 35

Authors

71

  1. TR
    Tomasz R. Bielecki

    Illinois Institute of Technology, United States

    6 publications · 242 citations

    6

    h-index

  2. SC
    Stéphane Crépey

    Université d'Évry Val-d'Essonne, France

    5 publications · 214 citations

    5

    h-index

  3. AH
    Alexander Herbertsson

    University of Gothenburg, Sweden

    3 publications · 109 citations

    3

    h-index

  4. TE
    Takeshi Emura

    National Central University, Taiwan

    3 publications · 70 citations

    3

    h-index

  5. AC
    Areski Cousin

    Université Claude Bernard Lyon 1, France

    3 publications · 109 citations

    3

    h-index

1–5 of 71

Institutions

67

  1. Université d'Évry Val-d'Essonne

    Évry-Courcouronnes, France

    5 h-index

    9 publications

    424 citations

  2. Illinois Institute of Technology

    Chicago, United States

    5 h-index

    5 publications

    172 citations

  3. University of Gothenburg

    Gothenburg, Sweden

    3 h-index

    3 publications

    109 citations

  4. Université Claude Bernard Lyon 1

    Villeurbanne, France

    3 h-index

    3 publications

    109 citations

  5. New York University

    New York, United States

    3 h-index

    5 publications

    658 citations

  6. Vanderbilt University

    Nashville, United States

    2 h-index

    2 publications

    442 citations

  7. Warsaw University of Technology

    Warsaw, Poland

    2 h-index

    4 publications

    72 citations

  8. University of Science and Technology Beijing

    Beijing, China

    2 h-index

    4 publications

    200 citations

1–8 of 67

Venues

  1. 3

    h-index

  2. SSRN Electronic Journal

    Repository · 3 publications · 50 citations

    3

    h-index

  3. Energy

    2 publications · 124 citations

    2

    h-index

  4. 2

    h-index

  5. Journal of Statistical Planning and Inference

    2 publications · 43 citations

    2

    h-index

1–5