Robust pair-copula based forecasts of realized volatility

Applied Stochastic Models in Business and Industry

Volumn 30, Issue 2, 2014, Pages 183-199

  Vaz De Melo Mendes, Beatriz ^a   Accioly, Victor Bello ^a  

^a FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

Author keywords

nonlinear forecasts; pair copula; realized volatility; robust estimation; serial dependence

Indexed keywords

COMMERCE; COMPUTER SIMULATION; ESTIMATION; MAXIMUM LIKELIHOOD ESTIMATION;

AUTOCORRELATION FUNCTIONS; DEPENDENCE STRUCTURES; MAXIMUM LIKELIHOOD ESTIMATE; PAIR COPULAS; REAL-TIME INFORMATION; REALIZED VOLATILITY; ROBUST ESTIMATION; SERIAL DEPENDENCE;

FORECASTING;

EID: 84897570433     PISSN: 15241904     EISSN: 15264025     Source Type: Journal    
DOI: 10.1002/asmb.1960     Document Type: Article

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