Pages that link to "Item:Q3505329"

The following pages link to Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series (Q3505329):

Displaying 24 items.

• Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach (Q492638) (← links)
• Copula-MGARCH with continuous covariance decomposition (Q529780) (← links)
• High-dimensional copula-based distributions with mixed frequency data (Q726592) (← links)
• Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
• Change-point detection in high-dimensional covariance structure (Q1616311) (← links)
• Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
• Vine-copula GARCH model with dynamic conditional dependence (Q1623562) (← links)
• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas (Q1648677) (← links)
• On conditional covariance modelling: an approach using state space models (Q1659121) (← links)
• Sparse moving maxima models for tail dependence in multivariate financial time series (Q1937200) (← links)
• Goodness-of-fit test of copula functions for semi-parametric univariate time series models (Q2065302) (← links)
• A data-dependent approach to modeling volatility in financial time series (Q2347550) (← links)
• Measuring the coupled risks: A copula-based CVaR model (Q2378280) (← links)
• Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis (Q2445735) (← links)
• Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438) (← links)
• Modeling dependent financial assets by dynamic copula and portfolio optimization based on CVaR (Q2832209) (← links)
• A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach (Q2968467) (← links)
• Generalized EGARCH Random Effect Models Application to Financial Time Series (Q3072385) (← links)
• Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation (Q3295733) (← links)
• Dynamic mode decomposition for financial trading strategies (Q4554232) (← links)
• Rejoinder to ‘Dynamic dependence networks: Financial time series forecasting and portfolio decisions’ (Q4624959) (← links)
• Stochastic Multivariate Mixture Covariance Model (Q4687595) (← links)
• Testing for white noise against locally stationary alternatives (Q4969863) (← links)
• (Q5143634) (← links)