17 citations · 52 across the 24 of their papers we have counts for
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stat.ME2018
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
Nicole Barthel, Claudia Czado, Yarema Okhrin
A novel approach for dynamic modeling and forecasting of realized covariance matrices is proposed. Realized variances and realized correlation matrices are jointly estimated. The o…
stat.ME2018
Model selection in sparse high-dimensional vine copula models with application to portfolio risk
Thomas Nagler, Christian Bumann, Claudia Czado
Vine copulas allow to build flexible dependence models for an arbitrary number of variables using only bivariate building blocks. The number of parameters in a vine copula model in…