12 citations · 12 across the 3 of their papers we have counts for
3 papers
econ.EM2024
Forecasting realized covariances using HAR-type models
Matias Quiroz, Laleh Tafakori, Hans Manner
We investigate methods for forecasting multivariate realized covariances matrices applied to a set of 30 assets that were included in the DJ30 index at some point, including two no…
stat.ME2012★ 12 cited
Modeling high dimensional time-varying dependence using D-vine SCAR models
Carlos Almeida, Claudia Czado, Hans Manner
We consider the problem of modeling the dependence among many time series. We build high dimensional time-varying copula models by combining pair-copula constructions (PCC) with st…
math.ST2009
Tails of correlation mixtures of elliptical copulas
Hans Manner, Johan Segers
Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail…