Copula structured M4 processes with application to high-frequency financial data
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DOI: 10.1016/j.jeconom.2016.05.004
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- Zhao, Zifeng & Zhang, Zhengjun & Chen, Rong, 2018. "Modeling maxima with autoregressive conditional Fréchet model," Journal of Econometrics, Elsevier, vol. 207(2), pages 325-351.
- Cui, Qiurong & Xu, Yuqing & Zhang, Zhengjun & Chan, Vincent, 2021. "Max-linear regression models with regularization," Journal of Econometrics, Elsevier, vol. 222(1), pages 579-600.
- Arnab Chakrabarti & Rituparna Sen, 2023. "Copula Estimation for Nonsynchronous Financial Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 116-149, May.
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Keywords
Time series; Sparse multivariate maxima of moving maxima model; GMM estimator; Finance;All these keywords.
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