High-dimensional copula-based distributions with mixed frequency data

Published 2016 View Full Article

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Title
High-dimensional copula-based distributions with mixed frequency data
Authors
Keywords
High frequency data, Forecasting, Composite likelihood, Nonlinear dependence
Journal
JOURNAL OF ECONOMETRICS
Volume 193, Issue 2, Pages 349-366
Publisher
Elsevier BV
Online
2016-05-08
DOI
10.1016/j.jeconom.2016.04.011

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