Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
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- Francis X. Diebold, 1989.
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- 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.
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