The use of a conditionally unbiased, but imperfect, volatility proxy can lead to undesirable
outcomes in standard methods for comparing conditional variance forecasts. We motivate …

Rainfall and temperature are important climatic inputs for agricultural production, especially
in the context of climate change. However, accurate analysis and simulation of the joint …

Modeling financial volatility is an important part of empirical finance. This paper provides a
literature review of the most relevant volatility models, with a particular focus on forecasting …

This study applies the asymmetric dynamic conditional correlation (A-DCC) model and
employs copula functions to investigate the correlation dynamics among the Greek and …

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive
models for nonlinear time‐series. Estimation of local, quantile‐specific copula‐based time …

This study examines the portfolio risk and the co-movements between each of the BRIC
emerging and South Asian frontier stock markets and each of the major developed stock …

Accurate, short-term predictions of Earth orientation parameters (EOP) are needed for many
real-time applications including precise tracking and navigation of interplanetary spacecraft …

The real-time estimation of polar motion (PM) is needed for the navigation of Earth satellite
and interplanetary spacecraft. However, it is impossible to have real-time information due to …

In the post epidemic period, it is important to clarify the relationship between economic
growth and tourism growth. The aim of this study is to characterize the co-movement …

We characterize dependence in corporate credit and equity returns for 215 firms using a
new class of large-scale dynamic copula models. Copula dependence and especially tail …