This article proposes a new class of copula-based dynamic models for high-dimensional
conditional distributions, facilitating the estimation of a wide variety of measures of systemic …

This paper proposes a new class of dynamic copula models for daily asset returns that
exploits information from high frequency (intra-daily) data. We augment the generalized …

This paper proposes a new model for high-dimensional distributions of asset returns that
utilizes mixed frequency data and copulas. The dependence between returns is …

This study presents the effective utilization of data analysis in efficiently managing medical
resources—a crucial factor in ensuring high-quality healthcare delivery and positive patient …

This paper introduces a novel wild bootstrap for dependent data (WBDD) as a means of
calculating standard errors of estimators and constructing confidence regions for parameters …

This paper considers bootstrap inference in model averaging for predictive regressions. We
first show that the standard pairwise bootstrap is not valid in the context of model averaging …

We present a simulation-based approach to approximate the asymptotic variance and
asymptotic distribution function of two-stage estimators. We focus on extremum estimators in …

This study proposes a novel measure of systemic risk that is obtained by aggregating
downside risk information from the cross section of assets. In contrast to existing studies, we …

A factor copula model is proposed in which factors are either simulable or estimable from
exogenous information. Point estimation and inference are based on a simulated methods of …

This paper addresses the problem of estimating multiple quantiles from a time series. A
flexible class of dynamic multiple quantile (DMQ) models is specified, ensuring that …