propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship … show that investment portfolios, based on the proposed DSM copula model, are more accurate and produce better economic …

generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between … stock returns and bond returns. A GAS MIDAS copula decomposes their relationship into a short-term dependence and a long … proposed GAS MIDAS copula models are more effective in optimal portfolio allocation and improve the accuracy in risk management …

the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging … correlations, the reduction in portfolio variance produced by different hedging strategies is examined. The data suggests that the …

Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows capturing (multivariate) dynamics in higher order …