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Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 181-195

Persistent link: https://www.econbiz.de/10011894575

High-dimensional copula-based distributions with mixed frequency data

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 193 (2016) 2, pp. 349-366

Persistent link: https://www.econbiz.de/10011704954

Better the devil you know : improved forecasts from imperfect models

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 242 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015075194

Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23

Persistent link: https://www.econbiz.de/10014471820

Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors

Dobrev, Dobrislav; Nesmith, Travis D.; Oh, Dong Hwan - 2016

Persistent link: https://www.econbiz.de/10011578299

GARCH option pricing with volatility derivatives

Oh, Dong Hwan; Park, Yang-Ho - In: Journal of banking & finance 146 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014248216

Simulated Method of Moments Estimation for Copula-Based Multivariate Models

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of the American Statistical Association 108 (2013) 502, pp. 689-700

This article considers the estimation of the parameters of a copula via a simulated method of moments (MM) type approach. This approach is attractive when the likelihood of the copula model is not known in closed form, or when the researcher has a set of dependence measures or other functionals...

Persistent link: https://www.econbiz.de/10010690635

Comparing possibly misspecified forecasts

Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 796-809

Persistent link: https://www.econbiz.de/10012313371

Properties of optimal forecasts

Patton, Andrew J.; Timmermann, Allan - 2003

Persistent link: https://www.econbiz.de/10001797250

On the dynamics of hedge fund risk exposures

Patton, Andrew J.; Ramadorai, Tarun - 2010

Persistent link: https://www.econbiz.de/10003969312