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Copula methods for forecasting multivariate time series

Patton, Andrew J. - 2013

Persistent link: https://www.econbiz.de/10011507033

Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 207 (2018) 1, pp. 71-91

Persistent link: https://www.econbiz.de/10012116125

Realized semicovariances : looking for signs of direction inside the covariance matrix

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2017 - This version: September 5, 2017

We propose a new decomposition of the realized covariance matrix into components based on the signs of the underlying … forecasts may be significantly improved by using the realized semicovariance matrices to ``look inside'' the realized covariance …

Persistent link: https://www.econbiz.de/10012116691

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

Copula-based models for financial time series

Patton, Andrew J. - In: Handbook of financial time series, (pp. 767-785). 2009

Persistent link: https://www.econbiz.de/10003834225

Evaluating volatility and correlation forecasts

Patton, Andrew J.; Sheppard, Kevin - In: Handbook of financial time series, (pp. 801-838). 2009

Persistent link: https://www.econbiz.de/10003834236

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