Copula structured M4 processes with application to high-frequency financial data (Q308364): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2016.05.004
+Normal rank
@@ Property / OpenAlex ID @@
+W2410476501
@@ Property / OpenAlex ID: W2410476501 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q114666103
@@ Property / Wikidata QID: Q114666103 / rank @@
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
+Normal rank
@@ Property / cites work @@
+Basic properties and prediction of max-ARMA processes
+Normal rank
@@ Property / cites work @@
+Prediction of stationary max-stable processes
@@ Property / cites work: Prediction of stationary max-stable processes / rank @@
+Normal rank
@@ Property / cites work @@
+Point processes and multivariate extreme values
@@ Property / cites work: Point processes and multivariate extreme values / rank @@
+Normal rank
@@ Property / cites work @@
+Extreme Value Theory as a Risk Management Tool
@@ Property / cites work: Extreme Value Theory as a Risk Management Tool / rank @@
+Normal rank
@@ Property / cites work @@
+Q5461413
@@ Property / cites work: Q5461413 / rank @@
+Normal rank
@@ Property / cites work @@
+Moving-maximum models for extrema of time series
@@ Property / cites work: Moving-maximum models for extrema of time series / rank @@
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Generalized Method of Moments Estimators
+Normal rank
@@ Property / cites work @@
+Measuring and Modeling Risk Using High-Frequency Data
+Normal rank
@@ Property / cites work @@
+Asymptotically (in)dependent multivariate maxima of moving maxima process
+Normal rank
@@ Property / cites work @@
+Extreme value theory for multivariate stationary sequences
+Normal rank
@@ Property / cites work @@
+Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
+Normal rank
@@ Property / cites work @@
+Diagnostics for Dependence within Time Series Extremes
+Normal rank
@@ Property / cites work @@
+On the multivariate extremal index
@@ Property / cites work: On the multivariate extremal index / rank @@
+Normal rank
@@ Property / cites work @@
+Automatic Lag Selection in Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Asymptotic Normality of Sample Quantiles for $m$-Dependent Processes
+Normal rank
@@ Property / cites work @@
+Bivariate extreme statistics. I
@@ Property / cites work: Bivariate extreme statistics. I / rank @@
+Normal rank
@@ Property / cites work @@
+Sparse moving maxima models for tail dependence in multivariate financial time series
+Normal rank
@@ Property / cites work @@
+On approximating max-stable processes and constructing extremal copula functions
+Normal rank
@@ Property / cites work @@
+Extremal financial risk models and portfolio evaluation
+Normal rank
@@ Property / cites work @@
+The behavior of multivariate maxima of moving maxima processes
+Normal rank
@@ Property / cites work @@
+On the estimation and application of max-stable processes
+Normal rank