Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings

Published:2020-06-01 Issue:4 Volume:39 Page:1066-1079
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Opschoor Anne¹²,Lucas André²³^ORCID,Barra István¹²,van Dijk Dick²⁴

Affiliation:

1. Department of Finance, Vrije Universiteit Amsterdam, Amsterdam, The Netherlands

2. Tinbergen Institute, Amsterdam, The Netherlands

3. Department of Econometrics, Vrije Universiteit Amsterdam, Amsterdam, The Netherlands

4. Department of Econometrics, Erasmus University Rotterdam, Rotterdam, The Netherlands

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2020.1763806

Reference42 articles.

1. Dynamic Conditional Correlation: On Properties and Estimation

2. Comparing Density Forecasts via Weighted Likelihood Ratio Tests

3. Information-theoretic optimality of observation-driven time series models for continuous responses

4. On Persistence in Mutual Fund Performance

5. Dynamic Copula Methods in Finance

Cited by 20 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Portfolio selection via high-dimensional stochastic factor Copula;Finance Research Letters;2024-09

2. Measuring systemic risk in Asian foreign exchange markets;Journal of International Money and Finance;2024-08

3. Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns;Journal of Business & Economic Statistics;2024-07-15

4. Dynamic partial correlation models;Journal of Econometrics;2024-04

5. Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context;Computational Economics;2024-03-16

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3