Dynamic factor copula models with estimated cluster assignments

DOI10.1016/J.JECONOM.2022.07.012MaRDI QIDQ6090586zbMATH OpenOpenAlexFDO

Authors Dong Hwan Oh, Andrew J. Patton

Publication date 17 November 2023

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2022.07.012

zbMATH Keywords

high-dimensional modelsmultivariate density forecastingrisk management

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(11)

• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
• A testing approach to clustering scalar time series
• Characterizing correlation matrices that admit a clustered factor representation
• Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns
• A new method for generating random correlation matrices
• Convolution-t distributions
• Cluster GARCH
• Kendall's tau and Spearman's rho for normal location-scale and skew-normal scale mixture copulas
• Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models
• Copula-based models for competing risks: a comprehensive review
• Time-Varying Group Unobserved Heterogeneity in Finance

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