Managing risk with a realized copula parameter
From MaRDI portal
Recommendations
Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A component model for dynamic correlations
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- A multiple indicators model for volatility using intra-daily data
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
- An introduction to copulas.
- Copulae in mathematical and quantitative finance. Proceedings of the workshop, Cracow, Poland, July 10--11, 2012
- Dependence structures for multivariate high-frequency data in finance
- Do high-frequency measures of volatility improve forecasts of return distributions?
- Dynamic structured copula models
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Estimation of a function with discontinuities via local polynomial fit with an adaptive window choice
- Forecasting multivariate realized stock market volatility
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Handbook of Volatility Models and Their Applications
- Hierarchies of Archimedean copulas
- Localized realized volatility modeling
- Long memory processes and fractional integration in econometrics
- Modeling and Forecasting Realized Volatility
- Modeling tick-by-tick realized correlations
- Multiscale local change point detection with applications to value-at-risk
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Nonparametric Risk Management With Generalized Hyperbolic Distributions
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Realized kernels in practise : trades and quotes
- Sampling from Archimedean copulas
- Selection of mixed copula model via penalized likelihood
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Statistical inference for time-inhomogeneous volatility models.
- The Distribution of Realized Exchange Rate Volatility
- The Model Confidence Set
- The Volatility of Realized Volatility
- The Wishart autoregressive process of multivariate stochastic volatility
- The conditional autoregressive Wishart model for multivariate stock market volatility
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Vines -- a new graphical model for dependent random variables.
Cited in
(10)- Minimum variance hedging based on time-varying copulas
- Value-at-risk modeling with conditional copulas in Euclidean space framework
- Copulae: an overview and recent developments
- Analysis of portfolio VaR by pair copula-LMSV-t
- Lévy copulae for financial returns
- Time-varying joint distribution through copulas
- Local estimation of dynamic copula models
- Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
- Estimating dynamic copula dependence using intraday data
This page was built for publication: Managing risk with a realized copula parameter
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1659106)
