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Korrelation
Forecasting model
51
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32
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32
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28
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Patton, Andrew J.
11
Bollerslev, Tim
3
Oh, Dong Hwan
3
Quaedvlieg, Rogier
3
De Lira Salvatierra, Irving Arturo
1
Sheppard, Kevin
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Handbook of financial time series
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ECONIS (ZBW)
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Copula-based models for financial time series
Patton, Andrew J.
- In:
Handbook of financial time series
,
(pp. 767-785)
.
2009
Persistent link: https://www.econbiz.de/10003834225
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2
Modelling asymmetric exchange rate dependence
Patton, Andrew J.
- In:
International economic review
47
(
2006
)
2
,
pp. 527-556
Persistent link: https://www.econbiz.de/10003321487
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3
Evaluating volatility and correlation forecasts
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Handbook of financial time series
,
(pp. 801-838)
.
2009
Persistent link: https://www.econbiz.de/10003834236
Saved in:
4
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo
;
Patton, Andrew J.
- In:
Journal of empirical finance
30
(
2015
),
pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
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5
Copula methods for forecasting multivariate time series
Patton, Andrew J.
-
2013
Persistent link: https://www.econbiz.de/10011507033
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6
Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan
;
Patton, Andrew J.
-
2021
-
This draft: 21 January 2021
Persistent link: https://www.econbiz.de/10012608826
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7
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
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8
Modeling dependence in high dimensions with factor copulas
Oh, Dong Hwan
;
Patton, Andrew J.
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 139-154
Persistent link: https://www.econbiz.de/10011704143
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9
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
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10
Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads
Oh, Dong Hwan
;
Patton, Andrew J.
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
2
,
pp. 181-195
Persistent link: https://www.econbiz.de/10011894575
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