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A multivariate volatility vine copula model - MaRDI portal

A multivariate volatility vine copula model (Q5034252)

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scientific article; zbMATH DE number 7481025
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English
A multivariate volatility vine copula model
scientific article; zbMATH DE number 7481025

    Statements

    title
    A multivariate volatility vine copula model (English)
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    author
    M. Heiden
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    Yarema Okhrin
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    publication date
    24 February 2022
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    zbMATH Keywords
    copula
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    forecasting
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    realized covariances
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    realized volatility
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    vine copula
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    cites work
    Q4845377
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    Q3185327
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    Q4382161
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    Q5312885
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    Q3281461
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62H05
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    62H20
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    62P05
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    62P20
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    zbMATH DE Number
    7481025
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    OpenAlex ID
    W2177794605
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