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High-dimensional copula-based distributions with mixed frequency data
16 references·6 citing·34 second hop
High-dimensional copula-based distributions with mixed frequency data (2016)High-dimensional copula-based distributio…Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)Time-Varying Systemic Risk: E…Copula Methods for Forecasting Multivariate Time Series (2013)Copula Methods for Forecastin…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Modelling and Forecasting Multivariate Realized Volatility (2011)Modelling and Forecasting Mul…Realized kernels in practice: trades and quotes (2009)Realized kernels in practice:…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Strictly Proper Scoring Rules…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Chapter 15 Volatility and Correlation Forecasting (2006)Chapter 15 Volatility and Cor…Stochastic volatility : selected readings (2005)Stochastic volatility : selec…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…An Introduction to Copulas (1999)An Introduction to CopulasMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations (2022)DCC- and DECO-HEAVY: Multivar…Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures* (2019)Realized Peaks over Threshold…Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (2018)Modeling and forecasting (un)…Time series copulas for heteroskedastic data (2017)Time series copulas for heter…Dynamic Dependence and Diversification in Corporate Credit (2017)Dynamic Dependence and Divers…Dynamic Dependence in Corporate Credit (2013)Dynamic Dependence in Corpora…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Elicitation of Personal Probabilities and Expectations (1971)Comparing Predictive Accuracy (1994)Probabilistic Forecasts, Calibration and Sharpness (2007)Making and Evaluating Point Forecasts (2011)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)Macroeconomic Forecasting Using Diffusion Indexes (2002)A Test for Superior Predictive Ability (2005)Large Bayesian vector auto regressions (2009)Volatility forecast comparison using imperfect volatility proxies (2010)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Separating microstructure noise from volatility (2005)A framework for assessing the systemic risk of major financial institutions (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)A review of copula models for economic time series (2012)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2009Realized kernels in practice: trades and quotes642 cited
  • 2005Stochastic volatility : selected readings333 cited
  • 2006Chapter 15 Volatility and Correlation Forecasting330 cited
  • 2013Copula Methods for Forecasting Multivariate Time Series323 cited
  • 2011Modelling and Forecasting Multivariate Realized Volatility294 cited

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2016
Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
272 cited

Cited by

  • 2017Dynamic Dependence and Diversification in Corporate Credit51 cited
  • 2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions35 cited
  • 2017Time series copulas for heteroskedastic data34 cited
  • 2019Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*31 cited
  • 2022DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations25 cited
  • 2013Dynamic Dependence in Corporate Credit25 cited