Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 1, p. 118, doi. 10.1093/jjfinec/nby032
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- Publication type:
- Article
Works matching IS 14798409 AND DT 2019 AND VI 17 AND IP 1
Results: 5
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Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns Series.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 1, p. 91, doi. 10.1093/jjfinec/nby019
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- Publication type:
- Article
3
Fractional Integration and Fat Tails for Realized Covariance Kernels.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 1, p. 66, doi. 10.1093/jjfinec/nby029
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- Publication type:
- Article
4
Factor High-Frequency-Based Volatility (HEAVY) Models.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 1, p. 33, doi. 10.1093/jjfinec/nby028
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- Publication type:
- Article
5
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 1, p. 1, doi. 10.1093/jjfinec/nby007
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- Publication type:
- Article