High-dimensional copula-based distributions with mixed frequency data

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

zbMATH Keywords

nonlinear dependenceforecastinghigh-frequency datacomposite likelihood

Mathematics Subject Classification ID

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)

Related Items (13)

Accounting for endogeneity in regression models using copulas: a step-by-step guide for empirical studies ⋮ Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas ⋮ Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization ⋮ A generalized heterogeneous autoregressive model using market information ⋮ Incorporating overnight and intraday returns into multivariate GARCH volatility models ⋮ A Simple Method for Predicting Covariance Matrices of Financial Returns ⋮ On Bivariate Time-Varying Price Staleness ⋮ A closed-form formula characterization of the Epps effect ⋮ Calibration estimation of semiparametric copula models with data missing at random ⋮ Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions ⋮ On non-central squared copulas ⋮ Managing liquidity with portfolio staleness ⋮ Copula shrinkage and portfolio allocation in ultra-high dimensions

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