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-variance mixture copulas. The goal is to develop a copula-based method with the flexibility to reproduce the correlation skew, and at … correlation skew is involved in different ways …
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In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...
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