Dependence structures for multivariate high-frequency data in finance
From MaRDI portal
Publication:4647236
DOI10.1080/713666155zbMath1408.62173OpenAlexW2529733609MaRDI QIDQ4647236
No author found.
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2381/11692
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Related Items (67)
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification ⋮ Copula-based multivariate GARCH model with uncorrelated dependent errors ⋮ A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models ⋮ Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas ⋮ De copulis non est disputandum. Copulae: an overview ⋮ Tail dependence measure for examining financial extreme co-movements ⋮ Measuring the coupled risks: A copula-based CVaR model ⋮ \(t\)-copula from the viewpoint of tail dependence matrices ⋮ Modeling spot price dependence in Australian electricity markets with applications to risk management ⋮ Copula in a multivariate mixed discrete-continuous model ⋮ Managing risk with a realized copula parameter ⋮ A Goodness-of-fit Test for Copulas ⋮ Modeling dependency between industry production and energy market via stochastic copula approach ⋮ Investigation of the dependence structure in seismic hazard analysis: an application for Turkey ⋮ Out-of-sample comparison of copula specifications in multivariate density forecasts ⋮ Applying the copula approach on step stress accelerated life test under type II censoring ⋮ Dependence measure for length-biased survival data using copulas ⋮ Vine copulas with asymmetric tail dependence and applications to financial return data ⋮ An algorithm for constructing high dimensional distributions from distributions of lower dimension ⋮ Reverse stress testing in skew-elliptical models ⋮ A Conversation With Paul Embrechts ⋮ A goodness-of-fit test based on Bézier curve estimation of Kendall distribution ⋮ Copula estimation for nonsynchronous financial data ⋮ Hedging cryptos with Bitcoin futures ⋮ Estimating dynamic copula dependence using intraday data ⋮ Does investment in insurance stocks reap diversification benefits? Static and time varying copula modeling ⋮ A non-linear forecast combination procedure for binary outcomes ⋮ Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models ⋮ Goodness-of-fit testing for copulas: a distribution-free approach ⋮ Rapid and accurate development of prices and Greeks fornth to default credit swaps in the Li model ⋮ Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals ⋮ A review of copula models for economic time series ⋮ Do stock returns have an Archimedean copula? ⋮ Portfolio risk assessment using multivariate extreme value methods ⋮ Nonparametric tests for constant tail dependence with an application to energy and finance ⋮ Testing the Gaussian copula hypothesis for financial assets dependences ⋮ A semiparametric maximum likelihood ratio test for the change point in copula models ⋮ Crisis and risk dependencies ⋮ Pair-copula constructions of multiple dependence ⋮ Common sampling orders of regular vines with application to model selection ⋮ Goodness-of-fit tests for copulas ⋮ pyvine: the Python package for regular vine copula modeling, sampling and testing ⋮ Copula based multivariate semi-Markov models with applications in high-frequency finance ⋮ Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels ⋮ Lévy copulae for financial returns ⋮ Extreme behavior of bivariate elliptical distributions ⋮ Goodness-of-fit test for specification of semiparametric copula dependence models ⋮ Goodness-of-fit tests for copulas: A review and a power study ⋮ Financial econometric analysis at ultra-high frequency: Data handling concerns ⋮ A goodness-of-fit test for copulas based on martingale transformation ⋮ Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market ⋮ Unnamed Item ⋮ Truncation invariant copulas and a testing procedure ⋮ A goodness of fit test for copulas based on Rosenblatt's transformation ⋮ Copula model evaluation based on parametric bootstrap ⋮ Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas ⋮ Goodness-of-fit test of copula functions for semi-parametric univariate time series models ⋮ A new approach to measure systemic risk: a bivariate copula model for dependent censored data ⋮ Copulas, Goodness-of-Fit Tests and Measurement of Stochastic Dependencies Before and During the Financial Crisis ⋮ Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index ⋮ Fitting High-Dimensional Copulae to Data ⋮ Risk estimation in exchange rate markets based on stochastic copula approach ⋮ A goodness-of-fit test for copulas based on the collision test ⋮ A goodness-of-fit test for regular vine copula models ⋮ Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk ⋮ Estimating the Probability of a Rare Event via Elliptical Copulas ⋮ Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
This page was built for publication: Dependence structures for multivariate high-frequency data in finance
