High-dimensional copula-based distributions with mixed frequency data
DOI10.1016/J.JECONOM.2016.04.011zbMATH Open1431.62657OpenAlexW1512468949MaRDI QIDQ726592FDOQ726592
Authors: 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
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Cited In (15)
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- A generalized heterogeneous autoregressive model using market information
- A closed-form formula characterization of the Epps effect
- STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
- Copula structured M4 processes with application to high-frequency financial data
- Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- On Bivariate Time-Varying Price Staleness
- Managing liquidity with portfolio staleness
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- On non-central squared copulas
- Accounting for endogeneity in regression models using copulas: a step-by-step guide for empirical studies
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Calibration estimation of semiparametric copula models with data missing at random
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
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