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subject:"Volatility"
~isPartOf:"CORE discussion papers : DP"
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
2
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
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2018
Persistent link: https://www.econbiz.de/10011992647
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3
Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc
;
Braione, Manuela
;
Storti, Giuseppe
-
2014
Persistent link: https://www.econbiz.de/10010484208
Saved in:
4
Modeling the dependence of conditional correlations on volatility
Bauwens, Luc
;
Otranto, Edoardo
-
2013
Persistent link: https://www.econbiz.de/10010203488
Saved in:
5
Computationally efficient inference procedures for vast dimensional realized covariance models
Bauwens, Luc
;
Storti, Giuseppe
-
2012
Persistent link: https://www.econbiz.de/10009573788
Saved in:
6
Infinite-state Markov-switching for dynamic volatility and correlation models
Dufays, Arnaud
-
2012
Persistent link: https://www.econbiz.de/10009731096
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