High-dimensional copula-based distributions with mixed frequency data
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Publication:726592
DOI10.1016/j.jeconom.2016.04.011zbMath1431.62657OpenAlexW1512468949MaRDI QIDQ726592
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
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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