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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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Estimation of copula models for time series of possibly different lenghts
Patton, Andrew J. - 2001
Persistent link: https://www.econbiz.de/10001637762
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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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Copula methods for forecasting multivariate time series
Patton, Andrew J. - 2013
Persistent link: https://www.econbiz.de/10011507033
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Modelling dependence in high dimensions with factor copulas
Oh, Dong Hwan; Patton, Andrew J. - 2015
Persistent link: https://www.econbiz.de/10011409384
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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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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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High-dimensional copula-based distributions with mixed frequency data
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 193 (2016) 2, pp. 349-366
Persistent link: https://www.econbiz.de/10011704954
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Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471820