High-Dimensional Copula-Based Distributions with Mixed Frequency Data
暂无分享,去创建一个
[1] N. Shephard,et al. Realized Kernels in Practice: Trades and Quotes , 2009 .
[2] Halbert White,et al. Tests of Conditional Predictive Ability , 2003 .
[3] A. Raftery,et al. Strictly Proper Scoring Rules, Prediction, and Estimation , 2007 .
[4] N. Hautsch,et al. Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? , 2013 .
[5] M. Rockinger,et al. On the Importance of Time Variability in Higher Moments for Asset Allocation , 2010 .
[6] Andrew J. Patton,et al. Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads , 2013 .
[7] N. Shephard,et al. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics , 2004 .
[8] C. Varin,et al. A note on composite likelihood inference and model selection , 2005 .
[9] R. Engle. Dynamic Conditional Correlation , 2002 .
[10] N. Hautsch,et al. Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?: HF DATA AND HIGH-DIMENSIONAL PORTFOLIOS , 2015 .
[11] Ruey S. Tsay,et al. High Dimensional Dynamic Stochastic Copula Models , 2014 .
[12] T. Bollerslev,et al. Roughing up Beta: Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns , 2016 .
[13] M. Sklar. Fonctions de repartition a n dimensions et leurs marges , 1959 .
[14] Fulvio Corsi,et al. A Simple Approximate Long-Memory Model of Realized Volatility , 2008 .
[15] N. Reid,et al. AN OVERVIEW OF COMPOSITE LIKELIHOOD METHODS , 2011 .
[16] S. Li. Continuous Beta, Discontinuous Beta, and the Cross-Section of Expected Stock Returns∗ , 2012 .
[17] Neil Shephard,et al. Multivariate High-Frequency-Based Volatility (HEAVY) Models , 2012 .
[18] N. Shephard,et al. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics , 2002 .
[19] Q. Vuong. Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses , 1989 .
[20] W. Newey,et al. Large sample estimation and hypothesis testing , 1986 .
[21] Andrew J. Patton. Copula Methods for Forecasting Multivariate Time Series , 2013 .
[22] Halbert White,et al. Estimation, inference, and specification analysis , 1996 .
[23] Tae-Hwy Lee,et al. Copula-based multivariate GARCH model with uncorrelated dependent errors , 2009 .
[24] Robert F. Engle,et al. Fitting Vast Dimensional Time-Varying Covariance Models , 2017, Journal of Business & Economic Statistics.
[25] Peter F. Christoffersen,et al. Dynamic Dependence in Corporate Credit , 2013 .
[26] Harry Joe,et al. Composite Likelihood Methods , 2012 .
[27] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[28] J. Wooldridge,et al. A Capital Asset Pricing Model with Time-Varying Covariances , 1988, Journal of Political Economy.
[29] Christian Gourieroux,et al. Statistics and econometric models , 1995 .
[30] Thomas H. McCurdy,et al. Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? , 2008 .
[31] R. Nelsen. An Introduction to Copulas , 1998 .
[32] John M. Maheu,et al. Modeling Realized Covariances and Returns , 2013 .
[33] F. Diebold,et al. Chapter 15 Volatility and Correlation Forecasting , 2006 .
[34] Joseph P. Romano,et al. The stationary bootstrap , 1994 .
[35] D. Rivers,et al. Model Selection Tests for Nonlinear Dynamic Models , 2002 .
[36] F. Diebold,et al. VOLATILITY AND CORRELATION FORECASTING , 2006 .
[37] N. Shephard. Stochastic Volatility: Selected Readings , 2005 .
[38] Roxana Halbleib,et al. Modelling and Forecasting Multivariate Realized Volatility , 2008 .
[39] R. Engle,et al. Multivariate Simultaneous Generalized ARCH , 1995, Econometric Theory.
[40] GourierouxMonfort. Statistics and Econometric Models, Volume 2 , 1996 .
[41] Gregory H. Bauer,et al. Forecasting multivariate realized stock market volatility , 2011 .
[42] Drew D. Creal,et al. Generalized autoregressive score models with applications ∗ , 2010 .
[43] D. Cox,et al. A note on pseudolikelihood constructed from marginal densities , 2004 .
[44] L. Glosten,et al. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .