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Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor…
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Opschoor, AnneLucas, AndreBarra, IstvanDijk, Dick van

We develop new multi-factor dynamic copula models with time-varying factor loadings and observation-driven dynamics. The new models are highly flexible, scalable to high dimensions, and ensure posi…

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New HEAVY Models for Fat-Tailed Realized Covariances and Returns
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Lucas, AndreDijk, Dick vanOpschoor, AnneJanus, Pawel


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