There coexist two popular autoregressive conditional density model classes for series of positive financial variables such as realized volatility. One is a class of multiplicative error models (MEM), where the conditional mean is modelled autoregressively, while the specified shape of...

Copulas are a convenient framework to synthesize joint distributions, particularly in higher dimensions. Currently, copula-based high dimensional settings are used for as many as a few hundred variables and require large data samples for estimation to be precise. In this paper, we employ...