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

  • Chen, Xiaohong
  • Fan, Yanqin
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4H21KJT-3/2/f176e0160dc630b149bd4e3c1a631b5f
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. 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.
    2. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-33, March.
    3. Douglas Rivers & Quang Vuong, 2002. "Model selection tests for nonlinear dynamic models," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 1-39, June.
    4. West,K.D., 1999. "Encompassing tests when no model is encompassing," Working papers 36, Wisconsin Madison - Social Systems.
    5. 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.
    6. repec:cup:cbooks:9780521632423 is not listed on IDEAS
    7. repec:cup:cbooks:9780521252805 is not listed on IDEAS
    8. 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.
    9. repec:cup:cbooks:9780521634809 is not listed on IDEAS
    10. 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.).
    11. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
    12. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
    13. HENRY, David F. & RICHARD, Jean-François, . "On the formulation of empirical models in dynamic econometrics," CORE Discussion Papers RP -502, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    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. Alexandra Dias & Paul Embrechts, 2004. "Dynamic copula models for multivariate high-frequency data in finance," Working Papers wpn04-01, Warwick Business School, Finance Group.
    16. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
    17. Norman Swanson & Valentina Corradi, 2004. "Predictive Density Accuracy Tests," Working Papers wp04-16, Warwick Business School, Finance Group.
    18. Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Centre de Recherche en Economie et Statistique.
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