{"id":"https://openalex.org/W2028115777","doi":"https://doi.org/10.1080/03610910802645321","title":"Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function","display_name":"Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function","publication_year":2009,"publication_date":"2009-01-31","ids":{"openalex":"https://openalex.org/W2028115777","doi":"https://doi.org/10.1080/03610910802645321","mag":"2028115777"},"language":"en","primary_location":{"id":"doi:10.1080/03610910802645321","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910802645321","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-00514343","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5023747857","display_name":"Filippo Domma","orcid":"https://orcid.org/0000-0002-1489-1065"},"institutions":[{"id":"https://openalex.org/I45204951","display_name":"University of Calabria","ror":"https://ror.org/02rc97e94","country_code":"IT","type":"education","lineage":["https://openalex.org/I45204951"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Filippo Domma","raw_affiliation_strings":["Department of Economics and Statistics , University of Calabria , Italy","Department of Economics and Statistics, University of Calabria, Italy#TAB#"],"affiliations":[{"raw_affiliation_string":"Department of Economics and Statistics , University of Calabria , Italy","institution_ids":["https://openalex.org/I45204951"]},{"raw_affiliation_string":"Department of Economics and Statistics, University of Calabria, Italy#TAB#","institution_ids":["https://openalex.org/I45204951"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5024381133","display_name":"Sabrina Giordano","orcid":"https://orcid.org/0000-0002-3635-9440"},"institutions":[{"id":"https://openalex.org/I45204951","display_name":"University of Calabria","ror":"https://ror.org/02rc97e94","country_code":"IT","type":"education","lineage":["https://openalex.org/I45204951"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Sabrina Giordano","raw_affiliation_strings":["Department of Economics and Statistics , University of Calabria , Italy","Department of Economics and Statistics, University of Calabria, Italy#TAB#"],"affiliations":[{"raw_affiliation_string":"Department of Economics and Statistics , University of Calabria , Italy","institution_ids":["https://openalex.org/I45204951"]},{"raw_affiliation_string":"Department of Economics and Statistics, University of Calabria, Italy#TAB#","institution_ids":["https://openalex.org/I45204951"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5012695885","display_name":"Pier Francesco Perri","orcid":"https://orcid.org/0000-0002-3432-800X"},"institutions":[{"id":"https://openalex.org/I45204951","display_name":"University of Calabria","ror":"https://ror.org/02rc97e94","country_code":"IT","type":"education","lineage":["https://openalex.org/I45204951"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Pier Francesco Perri","raw_affiliation_strings":["Department of Economics and Statistics , University of Calabria , Italy","Department of Economics and Statistics, University of Calabria, Italy#TAB#"],"affiliations":[{"raw_affiliation_string":"Department of Economics and Statistics , University of Calabria , Italy","institution_ids":["https://openalex.org/I45204951"]},{"raw_affiliation_string":"Department of Economics and Statistics, University of Calabria, Italy#TAB#","institution_ids":["https://openalex.org/I45204951"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5023747857"],"corresponding_institution_ids":["https://openalex.org/I45204951"],"apc_list":null,"apc_paid":null,"fwci":1.0955,"has_fulltext":false,"cited_by_count":35,"citation_normalized_percentile":{"value":0.83286769,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"38","issue":"4","first_page":"703","last_page":"728"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9549000263214111,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.8853774666786194},{"id":"https://openalex.org/keywords/kurtosis","display_name":"Kurtosis","score":0.8003302812576294},{"id":"https://openalex.org/keywords/univariate","display_name":"Univariate","score":0.7508911490440369},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.688679039478302},{"id":"https://openalex.org/keywords/skewness","display_name":"Skewness","score":0.6099972724914551},{"id":"https://openalex.org/keywords/tail-dependence","display_name":"Tail dependence","score":0.49474427103996277},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.4693891406059265},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.4122884273529053},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3866734504699707},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.35882532596588135},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.24075418710708618}],"concepts":[{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.8853774666786194},{"id":"https://openalex.org/C166963901","wikidata":"https://www.wikidata.org/wiki/Q287251","display_name":"Kurtosis","level":2,"score":0.8003302812576294},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.7508911490440369},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.688679039478302},{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.6099972724914551},{"id":"https://openalex.org/C2777606061","wikidata":"https://www.wikidata.org/wiki/Q16991115","display_name":"Tail dependence","level":3,"score":0.49474427103996277},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4693891406059265},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.4122884273529053},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3866734504699707},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.35882532596588135},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.24075418710708618},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/03610910802645321","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910802645321","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-00514343v1","is_oa":true,"landing_page_url":"https://hal.science/hal-00514343","pdf_url":null,"source":{"id":"https://openalex.org/S4406922276","display_name":"INRIA a CCSD electronic archive server","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Communications in Statistics - Simulation and Computation, 2009, 38 (04), pp.703-728. &#x27E8;10.1080/03610910802645321&#x27E9;","raw_type":"Journal articles"},{"id":"pmh:oai:tara.tcd.ie:2262/46773","is_oa":false,"landing_page_url":"http://hdl.handle.net/2262/46773","pdf_url":null,"source":{"id":"https://openalex.org/S4306400387","display_name":"Trinity's Access to Research Output (TARA) (Trinity College Dublin)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205274468","host_organization_name":"Trinity College Dublin","host_organization_lineage":["https://openalex.org/I205274468"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":""}],"best_oa_location":{"id":"pmh:oai:HAL:hal-00514343v1","is_oa":true,"landing_page_url":"https://hal.science/hal-00514343","pdf_url":null,"source":{"id":"https://openalex.org/S4406922276","display_name":"INRIA a CCSD electronic archive server","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Communications in Statistics - Simulation and Computation, 2009, 38 (04), pp.703-728. &#x27E8;10.1080/03610910802645321&#x27E9;","raw_type":"Journal articles"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":43,"referenced_works":["https://openalex.org/W45326702","https://openalex.org/W83428004","https://openalex.org/W1498017815","https://openalex.org/W1610965278","https://openalex.org/W1773976433","https://openalex.org/W1979575715","https://openalex.org/W1986395918","https://openalex.org/W1994637741","https://openalex.org/W1994813019","https://openalex.org/W2016733409","https://openalex.org/W2020207439","https://openalex.org/W2023166574","https://openalex.org/W2026645343","https://openalex.org/W2030362233","https://openalex.org/W2034661498","https://openalex.org/W2052828241","https://openalex.org/W2054738199","https://openalex.org/W2056003895","https://openalex.org/W2063656543","https://openalex.org/W2078237481","https://openalex.org/W2081753448","https://openalex.org/W2082164406","https://openalex.org/W2096992152","https://openalex.org/W2100011707","https://openalex.org/W2116988722","https://openalex.org/W2123446302","https://openalex.org/W2127038280","https://openalex.org/W2131773668","https://openalex.org/W2196329906","https://openalex.org/W2482959850","https://openalex.org/W2494873755","https://openalex.org/W2507039649","https://openalex.org/W2508109141","https://openalex.org/W2798180542","https://openalex.org/W3122384970","https://openalex.org/W3123219829","https://openalex.org/W3204029142","https://openalex.org/W4231546411","https://openalex.org/W4239934782","https://openalex.org/W4240889859","https://openalex.org/W4300223101","https://openalex.org/W4301681175","https://openalex.org/W4386079849"],"related_works":["https://openalex.org/W2538623560","https://openalex.org/W3170604491","https://openalex.org/W4225568567","https://openalex.org/W1496883226","https://openalex.org/W4297337052","https://openalex.org/W2028605949","https://openalex.org/W4286378979","https://openalex.org/W3216026256","https://openalex.org/W3129919015","https://openalex.org/W4220747348"],"abstract_inverted_index":{"In":[0],"financial":[1,42,55],"analysis":[2],"it":[3],"is":[4,29,68,84,98,140],"useful":[5],"to":[6,70,86,101,115,129],"study":[7,97],"the":[8,19,32,36,46,52,72,81,88,103,106,113,116,135],"dependence":[9,21,37,74,136],"between":[10,76,137],"two":[11,77],"or":[12],"more":[13],"time":[14,25,43],"series":[15,44,53],"as":[16,18,57],"well":[17],"temporal":[20],"in":[22,39],"a":[23,40,58,143],"univariate":[24,41],"series.":[26],"This":[27],"article":[28],"concerned":[30],"with":[31],"statistical":[33],"modeling":[34],"of":[35,48,54,105,119],"structure":[38,75],"using":[45],"concept":[47],"copula.":[49],"We":[50],"treat":[51],"returns":[56,118,139],"first":[59],"order":[60],"Markov":[61],"process.":[62],"The":[63],"Archimedean":[64],"two-parameter":[65],"BB7":[66],"copula":[67,144],"adopted":[69],"describe":[71],"underlying":[73],"consecutive":[78,138],"returns,":[79],"while":[80],"log-Dagum":[82],"distribution":[83],"employed":[85],"model":[87,114],"margins":[89],"marked":[90],"by":[91],"skewness":[92],"and":[93],"kurtosis.":[94],"A":[95],"simulation":[96],"carried":[99],"out":[100],"evaluate":[102],"performance":[104],"maximum":[107],"likelihood":[108],"estimates.":[109],"Furthermore,":[110],"we":[111,124],"apply":[112],"daily":[117],"four":[120],"stocks":[121],"and,":[122],"finally,":[123],"illustrate":[125],"how":[126],"its":[127],"fitting":[128],"data":[130],"can":[131],"be":[132],"improved":[133],"when":[134],"described":[141],"through":[142],"function.":[145]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":6},{"year":2019,"cited_by_count":4},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":2}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2016-06-24T00:00:00"}
