In a recent paper we have introduced the class of realised kernel estimators of the increments of quadratic variation in the presence of noise. We showed this estimator is consistent and derived its limit distribution under various assumptions on the kernel weights. In this paper we extend our...

This paper considers estimation of semi-nonparametric GARCH filtered copula models in which the individual time series are modelled by semi-nonparametric GARCH and the joint distributions of the multivariate standardized innovations are characterized by parametric copulas with nonparametric...