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A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics
16 references·0 citing·34 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2001Modeling and Forecasting Realized Volatility824 cited
  • 2002New frontiers for arch models739 cited
  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
  • 2005A multiple indicators model for volatility using intra-daily data487 cited
  • 2010Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models436 cited
  • 2007

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Copulas for Finance - A Reading Guide and Some Applications
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