Modeling statistical dependence of Markov chains via copula models

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

Maximum Likelihood Estimation of Misspecified Models

Halbert White · Econometrica · 1982 · 4.1K citations

Business, Biostatistics, Econometrics +16

Maximum Likelihood Estimation of Misspecified Models

Halbert White · Econometrica · 1983 · 3.8K citations

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Multivariate Models and Dependence Concepts.

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Business, Biostatistics, Statistical Modeling +12

Understanding Relationships Using Copulas

Edward W. Frees, Emiliano A. Valdez · North American Actuarial Journal · 1998 · 1.3K citations

Business, Insurance, Actuarial Science +13