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High-dimensional copula-based distributions with mixed frequency data · Study

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ArticleHigh-dimensional copula-based distributions with mixed frequency data

Dong Hwan Oh2016

Article2016

High-dimensional copula-based distributions with mixed frequency data

Dong Hwan Oh · Andrew J. Patton

83 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1999An Introduction to Copulas 2002Dynamic Conditional Correlation 2007Strictly Proper Scoring Rules, Prediction, and Estimation 1995Multivariate Simultaneous Generalized ARCH 1988A Capital Asset Pricing Model with Time-Varying Covariances 2008A Simple Approximate Long-Memory Model of Realized Volatility 2006Tests of Conditional Predictive Ability

Cited by

2017Dynamic Dependence and Diversification in Corporate Credit 2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions 2017Time series copulas for heteroskedastic data 2019Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*

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Details

Year2016

Typearticle

Published2016-05-07

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations83

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2016.04.011

openalex_workW1512468949

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