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of a system of dependent risks. As a natural extension, we also introduced the multivariate tail correlation matrix …
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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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This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...
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This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …
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