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~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Finanzmarkt"
~subject:"Volatility"
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Search: subject_exact:"Kendall's tau"
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Finanzmarkt
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37
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Bauwens, Luc
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CORE discussion papers : DP
Journal of economic dynamics & control
Economic modelling
32
Finance research letters
26
International review of financial analysis
24
Research in international business and finance
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International review of economics & finance : IREF
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1
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
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
3
Improving forecasts with the co-range dynamic conditional correlation model
Fiszeder, Piotr
;
Fałdziński, Marcin
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012313608
Saved in:
4
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:
5
Modeling the dependence of conditional correlations on volatility
Bauwens, Luc
;
Otranto, Edoardo
-
2013
Persistent link: https://www.econbiz.de/10010203488
Saved in:
6
Computationally efficient inference procedures for vast dimensional realized covariance models
Bauwens, Luc
;
Storti, Giuseppe
-
2012
Persistent link: https://www.econbiz.de/10009573788
Saved in:
7
Infinite-state Markov-switching for dynamic volatility and correlation models
Dufays, Arnaud
-
2012
Persistent link: https://www.econbiz.de/10009731096
Saved in:
8
Optimal portfolios when variances and covariances can jump
Branger, Nicole
;
Muck, Matthias
;
Seifried, Frank Thomas
; …
- In:
Journal of economic dynamics & control
85
(
2017
),
pp. 59-89
Persistent link: https://www.econbiz.de/10011919303
Saved in:
9
The stock-bond comovements and cross-market trading
Mengling Li
;
Zheng, Huanhuan
;
Chong, Terence Tai-Leung
; …
- In:
Journal of economic dynamics & control
73
(
2016
),
pp. 417-438
Persistent link: https://www.econbiz.de/10011709117
Saved in:
10
Excess covariance and dynamic instability in a multi-asset model
Anufriev, Mikhail
;
Bottazzi, Giulio
;
Marsili, Matteo
; …
- In:
Journal of economic dynamics & control
36
(
2012
)
8
,
pp. 1142-1161
Persistent link: https://www.econbiz.de/10009634273
Saved in:
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