Robust pair-copula based forecasts of realized volatility
From MaRDI portal
Publication:6570566
DOI10.1002/asmb.1960MaRDI QIDQ6570566
Beatriz Vaz de Melo Mendes, Victor Bello Accioly
Publication date: 10 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Goodness-of-fit tests for copulas: A review and a power study
- Estimation of copula-based semiparametric time series models
- Bayesian copulae distributions, with application to operational risk management
- The meta-elliptical distributions with given marginals
- Completion problem with partial correlation vines
- Efficient estimation of copula-based semiparametric Markov models
- Copulas and Markov processes
- Weak convergence of empirical copula processes
- Vines -- a new graphical model for dependent random variables.
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
- COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
- Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
- Autoregressive Conditional Density Estimation
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- The Distribution of Realized Exchange Rate Volatility
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- Copulas and Temporal Dependence
- Robust Fits for Copula Models
- Modeling and Forecasting Realized Volatility
This page was built for publication: Robust pair-copula based forecasts of realized volatility
