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High-dimensional copula-based distributions with mixed frequency data
Oh, Dong Hwan; Patton, Andrew J. - 2015
Persistent link: https://www.econbiz.de/10011409381
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Modelling dependence in high dimensions with factor copulas
Oh, Dong Hwan; Patton, Andrew J. - 2015
Persistent link: https://www.econbiz.de/10011409384
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Better the devil you know : improved forecasts from imperfect models
Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: October 2021
Persistent link: https://www.econbiz.de/10012704988
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Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021
Persistent link: https://www.econbiz.de/10012608826
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Default clustering risk premium and its cross-market asset pricing implications
Byun, Kiwoong; Kim, Baeho; Oh, Dong Hwan - 2023
Persistent link: https://www.econbiz.de/10014377671
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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