Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution

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Fitting and Testing Vast Dimensional Time-Varying Covariance Models (2007, background): “1 Recent developments in this area include Aielli (2006) and Pesaran and Pesaran (1993) .”
Fitting Vast Dimensional Time-Varying Covariance Models (2020, background): “developments in this area include Aielli (2006), Engle (2008a) and Pesaran and Pesaran (2007) .”
Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model (2009, unknown): “Following Sklar (1959), we decompose the joint distribution of all returns into the product of the marginals and the canonical vine copula, which captures all the dependence between the returns.”