//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~institution:"Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain"
~subject:"Intraday volatility"
~subject:"conditional correlation"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Volatility"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Intraday volatility
conditional correlation
volatility
11
GARCH
3
exchange rate volatility
3
stochastic volatility
3
Multivariate GARCH
2
Value-at-Risk
2
implied volatility
2
realized volatility
2
ARCH
1
ARMA
1
Bayesian inference
1
Bernstein density copula
1
Bregman divergences
1
Bregman-proximal trust-region method
1
DCC
1
Duration models
1
EGARCH
1
EM algorithm
1
EWMA
1
Granger non-causality
1
Intraday Value-at-Risk
1
Intraday data
1
Markov switching
1
Markov switching model
1
NYSE
1
adaptive estimation
1
agricultural commodity markets
1
art markets
1
bootstrap
1
conditional independence
1
constrained optimization
1
contemporaneous and temporal aggregation
1
distance
1
dynamic conditional correlations (DCC)
1
electronic order-driven markets
1
exchange rate
1
expected shortfall
1
finance
1
more ...
less ...
Online availability
All
Free
2
Type of publication
All
Book / Working Paper
2
Language
All
Undetermined
2
Author
All
BAUWENS, Luc
1
GIOT, Pierre
1
otranto, EDOARDO
1
Institution
All
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
Centre Emile Bernheim, Solvay Brussels School of Economics and Management
1
Centro Ricerche Nord Sud (CRENoS)
1
Departament d'Economia Aplicada, Facultat de Ciències Econòmiques i Empresarials
1
Department of Economics and Finance, College of Business and Economics
1
Department of Economics, National University of Singapore
1
Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia
1
East Asian Bureau of Economic Research (EABER)
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
Erasmus University Rotterdam, Econometric Institute
1
European Central Bank
1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
Institut de Préparation à l'Administration et à la Gestion (IPAG)
1
Institute of Economic Research, Kyoto University
1
Université Paris-Dauphine
1
Université Paris-Dauphine (Paris IX)
1
more ...
less ...
Published in...
All
CORE Discussion Papers
2
Source
All
RePEc
2
Showing
1
-
2
of
2
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Modeling the dependence of conditional correlations on
volatility
BAUWENS, Luc
;
otranto, EDOARDO
-
Center for Operations Research and Econometrics (CORE), …
-
2013
market
volatility
is a major determinant of the correlations. We extend some models to capture explicitly the dependence of … the correlations on the
volatility
of the market of interest. The models differ in the way by which the
volatility
… applied to different data sets to verify the presence and possible regularity of the
volatility
impact on correlations. …
Persistent link: https://www.econbiz.de/10010927701
Saved in:
2
Intraday value-at-risk.
GIOT, Pierre
-
Center for Operations Research and Econometrics (CORE), …
-
2000
trading. As expected, the
volatility
features an important intraday seasonality, which must be removed prior to using theVaR …
Persistent link: https://www.econbiz.de/10005042801
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->