Estimating dynamic copula dependence using intraday data
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DOI: 10.1515/snde-2013-0123
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References listed on IDEAS
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- Jiang, Cuixia & Ding, Xiaoyi & Xu, Qifa & Tong, Yongbo, 2020. "A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Tobias Eckernkemper & Bastian Gribisch, 2021. "Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 883-910, August.
- Arnab Chakrabarti & Rituparna Sen, 2019. "Copula estimation for nonsynchronous financial data," Papers 1904.10182, arXiv.org, revised Sep 2020.
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