High-dimensional copula-based distributions with mixed frequency data

DOI10.1016/J.JECONOM.2016.04.011MaRDI QIDQ726592zbMATH OpenOpenAlexFDO

Authors Dong Hwan Oh, Andrew J. Patton

Publication date 12 July 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.federalreserve.gov/econresdata/feds/2015/files/2015050pap.pdf

zbMATH Keywords

composite likelihoodforecastingnonlinear dependencehigh-frequency data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A note on composite likelihood inference and model selection
• A note on pseudolikelihood constructed from marginal densities
• An introduction to copulas.
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Forecasting multivariate realized stock market volatility
• High dimensional dynamic stochastic copula models
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Model selection tests for nonlinear dynamic models
• Realized kernels in practise : trades and quotes
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Tests of Conditional Predictive Ability
• The Stationary Bootstrap

Cited in

(15)

• Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
• Copula shrinkage and portfolio allocation in ultra-high dimensions
• A generalized heterogeneous autoregressive model using market information
• A closed-form formula characterization of the Epps effect
• STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
• Copula structured M4 processes with application to high-frequency financial data
• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
• A Simple Method for Predicting Covariance Matrices of Financial Returns
• Managing liquidity with portfolio staleness
• On Bivariate Time-Varying Price Staleness
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
• On non-central squared copulas
• Accounting for endogeneity in regression models using copulas: a step-by-step guide for empirical studies
• Incorporating overnight and intraday returns into multivariate GARCH volatility models
• Calibration estimation of semiparametric copula models with data missing at random

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