Unter den Linden 6
Berlin, Berlin 10099
Humboldt University of Berlin - School of Business and Economics
vector multiplicative error model, copula, time-varying copula, high-frequency data
Multi-Step estimation, Sparse estimation, Multivariate time series, Maximum likelihood estimation, Copula
Distribution functions, Dimension Reduction, Risk management, Statistical models
copula, multivariate distribution, Archimedean copula, adaptive estimation
CDO, CDS, multifactor models, multivariate distributions, Copulae, correlation smile
weather derivatives, localising temperature residuals, seasonality, local model selection
copula, multivariate distribution, value-at-risk, multivariate dependence
CDO, CDS, multivariate distributions, Copulae, correlation smile, loss given default
Hidden Markov model, Hierarchical Archimedean Copulae, Multivariate Distribution
Hidden Markov Model, Hierarchical Archimedean Copulae, Multivariate Distribution
CDO, Curve trade, Dynamic factor model, semiparametric model, Surfaces dynamics
realized variance, realized covariance, multivariate dependence, value at risk
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