Dynamic asset correlations based on vines
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Cites work
- A generalized dynamic conditional correlation model for portfolio risk evaluation
- A joint modelling approach for longitudinal studies
- A parameterization of positive definite matrices in terms of partial correlation vines
- Completion problem with partial correlation vines
- Dynamic asset correlations based on vines
- Estimation of a conditional copula and association measures
- Evaluating Volatility and Correlation Forecasts
- Generalized autoregressive conditional heteroscedasticity
- Generating random correlation matrices based on partial correlations
- Generating random correlation matrices based on vines and extended onion method
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Modeling covariance matrices via partial autocorrelations
- Multivariate Stochastic Volatility: A Review
- On the theory of elliptically contoured distributions
- Pair-copula constructions of multiple dependence
- Pseudo Maximum Likelihood Methods: Theory
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Selecting and estimating regular vine copulae and application to financial returns
- Truncation of vine copulas using fit indices
- Vine-copula GARCH model with dynamic conditional dependence
- Vines -- a new graphical model for dependent random variables.
Cited in
(6)- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- VaR-implied tail-correlation matrices
- Dynamic asset correlations based on vines
- Applied flexible correlation modeling
- Model-based vs. agnostic methods for the prediction of time-varying covariance matrices
- Common volatility and correlation clustering in asset returns
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