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Copulas for high dimensions : models, estimation, inference, and applications

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Estimation of copula models for time series of possibly different lenghts

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Data-based ranking of realised volatility estimators

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Estimation of Copula Models for Time Series of Possibly Different Lengths

Patton, Andrew J. - 2002

The theory of conditional copulas provides a means of constructing flexible multivariate density models, allowing for time-varying conditional densities of each individual variable, and for time-varying conditional dependence between the variables. Further, the use of copulas in constructing...

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