Dynamic factor copula models with estimated cluster assignments

DOI10.1016/j.jeconom.2022.07.012OpenAlexW4315750396MaRDI QIDQ6090586

Andrew J. Patton, Dong Hwan Oh

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.07.012

zbMATH Keywords

risk managementhigh-dimensional modelsmultivariate density forecasting

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR ⋮ A testing approach to clustering scalar time series ⋮ Characterizing correlation matrices that admit a clustered factor representation

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