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~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Journal of mathematical finance"
~subject:"Finanzmarkt"
~subject:"Volatility"
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Search: subject_exact:"Kendall's tau"
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Finanzmarkt
Volatility
Correlation
29
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29
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11
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10
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10
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Bauwens, Luc
5
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Storti, Giuseppe
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CORE discussion papers : DP
Journal of mathematical finance
Economic modelling
32
Finance research letters
26
International review of financial analysis
24
Research in international business and finance
21
Journal of empirical finance
20
Energy economics
19
International review of economics & finance : IREF
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics
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Discussion paper / Tinbergen Institute
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Economics letters
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13
Journal of international money and finance
13
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11
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10
The European journal of finance
10
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10
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
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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
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
3
Embedding stochastic correlation into the pricing of FX quanto options under stochastic volatility models
Pellegrino, Tommaso
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 455-493
Persistent link: https://www.econbiz.de/10012210363
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
Dynamic conditional correlation between electricity, energy (commodity) and financial markets during the financial crisis in Greece
Papaioannou, Panagiotis G.
;
Papaioannou, George P.
; …
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 990-1033
Persistent link: https://www.econbiz.de/10011860252
Saved in:
9
Analysis of cross-correlations in emerging markets using random matrix theory
Urama, Thomas Chinwe
;
Ezepue, Patrick Oseloka
;
Nnanwa, …
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 291-307
Persistent link: https://www.econbiz.de/10011673890
Saved in:
10
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
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