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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~isPartOf:"CAMA working paper series"
~isPartOf:"The econometrics journal"
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Stochastischer Prozess
Volatility
Estimation theory
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Schätztheorie
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Time series analysis
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VAR model
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VAR-Modell
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Chan, Joshua
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
-
2019
Persistent link: https://www.econbiz.de/10012223665
Saved in:
3
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2018
Persistent link: https://www.econbiz.de/10012203994
Saved in:
4
Large Bayesian VARs : a flexible Kronecker error covariance structure
Chan, Joshua
-
2015
Persistent link: https://www.econbiz.de/10011758202
Saved in:
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