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~institution:"Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam"
~subject:"multivariate GARCH"
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multivariate GARCH
Announcement Effects
1
Asymmetry
1
Multivariate GARCH
1
Stock and Bond Market
1
Time-Varying Covariances
1
asset allocation
1
asymmetric effects
1
impact of news
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semi-parametric estimation
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stock and bond market interaction
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time-varying volatility
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value-at-risk
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Marquering, Marquering, W.A.
1
Rombouts, J.V.K.
1
Verbeek, Marno
1
de Goeij, de Goeij, P.
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
Erasmus University Rotterdam, Econometric Institute
10
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
10
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
7
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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European Central Bank
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School of Economics and Finance, Business School
3
Université Paris-Dauphine (Paris IX)
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
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Department of Economics and Finance, College of Business and Economics
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Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova
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Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze
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Econometric Society
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Institute for International Integration Studies (IIIS), Trinity College Dublin
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Institute of Economic Research, Kyoto University
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National Centre for Econometric Research (NCER)
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Nationalekonomiska Institutionen, Ekonomihögskolan
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Nationalekonomiska Institutionen, Uppsala Universitet
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Center for Agricultural and Rural Development (CARD), Iowa State University
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Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models
Verbeek, Marno
;
Rombouts, J.V.K.
-
Erasmus Research Institute of Management (ERIM), …
-
2009
-at-Risk (VaR) of a portfolio with arbitrary weights. We specify and estimate several alternative
multivariate
GARCH
models for …
Persistent link: https://www.econbiz.de/10010731535
Saved in:
2
Modeling the Conditional Covariance between Stock and Bond Returns
de Goeij, de Goeij, P.
;
Marquering, Marquering, W.A.
-
Erasmus Research Institute of Management (ERIM), …
-
2002
matrix to vary over time according to a
multivariate
GARCH
model similar to Bollerslev, Engle and Wooldridge (1988). We …
Persistent link: https://www.econbiz.de/10010730877
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