| Time-varying systemic risk: Evidence from a dynamic copula model of cds spreads DH Oh, AJ Patton Journal of Business & Economic Statistics 36 (2), 181-195, 2018 | 371 | 2018 |
| Modeling dependence in high dimensions with factor copulas DH Oh, AJ Patton Journal of Business & Economic Statistics 35 (1), 139-154, 2017 | 331 | 2017 |
| Simulated method of moments estimation for copula-based multivariate models DH Oh, AJ Patton Journal of the American Statistical Association 108 (502), 689-700, 2013 | 106 | 2013 |
| High-dimensional copula-based distributions with mixed frequency data DH Oh, AJ Patton Journal of Econometrics 193 (2), 349-366, 2016 | 101 | 2016 |
| Dynamic factor copula models with estimated cluster assignments DH Oh, AJ Patton Journal of Econometrics 237 (2), 105374, 2023 | 31 | 2023 |
| GARCH option pricing with volatility derivatives DH Oh, YH Park Journal of Banking & Finance 146, 106718, 2023 | 12 | 2023 |
| Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors D Dobrev, TD Nesmith, DH Oh Journal of Risk and Financial Management 10 (1), 5, 2017 | 11 | 2017 |
| Better the Devil You Know: Improved Forecasts from Imperfect Models DH Oh, AJ Patton Available at SSRN 3964356, 2021 | 9 | 2021 |
Andrew PattonZelter Family Professor of Economics and Finance, Duke UniversityEmail verificata su duke.edu