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Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

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  • Chen, Xiaohong
  • Fan, Yanqin
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 135 (2006)
    Issue (Month): 1-2 ()
    Pages: 125-154

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    Handle: RePEc:eee:econom:v:135:y:2006:i:1-2:p:125-154

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    Web page: http://www.elsevier.com/locate/jeconom

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    1. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464.
    2. Norman Swanson & Valentina Corradi, 2004. "Predictive Density Accuracy Tests," Working Papers wp04-16, Warwick Business School, Finance Group.
    3. Francis X. Diebold, 1989. "Forecast combination and encompassing: reconciling two divergent literatures," Finance and Economics Discussion Series 80, Board of Governors of the Federal Reserve System (U.S.).
    4. Alexandra Dias & Paul Embrechts, 2004. "Dynamic copula models for multivariate high-frequency data in finance," Working Papers wpn04-01, Warwick Business School, Finance Group.
    5. West,K.D., 1999. "Encompassing tests when no model is encompassing," Working papers 36, Wisconsin Madison - Social Systems.
    6. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
    7. Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Centre de Recherche en Economie et Statistique.
    8. Hendry, David F. & Richard, Jean-Francois, 1982. "On the formulation of empirical models in dynamic econometrics," Journal of Econometrics, Elsevier, vol. 20(1), pages 3-33, October.
    9. Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
    10. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-33, March.
    11. W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 1-14.
    12. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423.
    13. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
    14. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1999. "Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 661-673, November.
    15. Douglas Rivers & Quang Vuong, 2002. "Model selection tests for nonlinear dynamic models," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 1-39, June.
    16. Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225.
    17. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-78, May.
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