Robust pair-copula based forecasts of realized volatility

DOI10.1002/ASMB.1960MaRDI QIDQ6570566FDOQ6570566

Authors Beatriz Vaz de Melo Mendes, Victor Bello Accioly

Publication date 10 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

robust estimationpair-copularealized volatilityserial dependencenonlinear forecasts

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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