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~isPartOf:"Econometric Institute research papers"
~person:"Giesecke, Kay"
~person:"McAleer, Michael"
~person:"McMillan, David G."
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Giesecke, Kay
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What they did not tell you about algebraic (non-)existence, mathematical (IR-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
McAleer, Michael
-
2019
Persistent link: https://www.econbiz.de/10011986986
Saved in:
2
What they did not tell you about algebraic (non-)existence, mathematical (IR-)regularity and (non-)asymptotic properties of the dynamic conditional correlation (DCC) model
McAleer, Michael
-
2019
Persistent link: https://www.econbiz.de/10011987013
Saved in:
3
Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael
-
2017
-
Revised: September 2017
Persistent link: https://www.econbiz.de/10011734899
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4
Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong
;
Li, Hua
;
McAleer, Michael
;
Wong, Wing Keung
-
2016
Persistent link: https://www.econbiz.de/10011477196
Saved in:
5
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011631770
Saved in:
6
Ten things you should know about the dynamic conditional correaltion representation
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009754989
Saved in:
7
Ten things you should know about DCC
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009744766
Saved in:
8
VaR forecasts and dynamic conditional correlations for spot and futures returns on stocks and bonds
Hakim, Abdul
;
McAleer, Michael
-
2009
Persistent link: https://www.econbiz.de/10003908707
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