A multivariate volatility vine copula model
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Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)
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Cites work
- A Tale of Two Time Scales
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- Bayesian model selection for D-vine pair-copula constructions
- Beyond simplified pair-copula constructions
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- Estimating covariation: Epps effect, microstructure noise
- Estimation with quadratic loss.
- Evaluating Volatility and Correlation Forecasts
- Forecasting multivariate realized stock market volatility
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- scientific article; zbMATH DE number 795280 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Kurtosis of GARCH and stochastic volatility models with non-normal innovations
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- Modeling and Forecasting Realized Volatility
- On Bayesian Modeling of Fat Tails and Skewness
- On covariance estimation of non-synchronously observed diffusion processes
- On loss functions and ranking forecasting performances of multivariate volatility models
- On the Autocorrelation Properties of Long‐Memory GARCH Processes
- On the structure and estimation of hierarchical Archimedean copulas
- Pair-copula constructions of multiple dependence
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Regime switches in the dependence structure of multidimensional financial data
- Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
- Selecting and estimating regular vine copulae and application to financial returns
- Simplified pair copula constructions -- limitations and extensions
- The conditional autoregressive Wishart model for multivariate stock market volatility
- The Model Confidence Set
- The Volatility of Realized Volatility
- The Wishart autoregressive process of multivariate stochastic volatility
- Truncated regular vines in high dimensions with application to financial data
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Vines -- a new graphical model for dependent random variables.
Cited in
(9)- Vine-copula GARCH model with dynamic conditional dependence
- Forecasting VaR and ES of stock index portfolio: a vine copula method
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Dual volatility and dependence parameters and the copula
- Portfolio quantile forecasts based on vine copula and realized GARCH
- Statistical arbitrage with vine copulas
- scientific article; zbMATH DE number 7387530 (Why is no real title available?)
- An integrated framework for visualizing and forecasting realized covariance matrices
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
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