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~isPartOf:"Econometric reviews"
~isPartOf:"The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association"
~subject:"Multivariate GARCH"
~subject:"Portfolio selection"
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Multivariate GARCH
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Econometric reviews
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
2
Correlations and volatility spillovers between China and Southeast Asian stock markets
Zhong, Yi
;
Liu, Jiapeng
- In:
The quarterly review of economics and finance : journal …
81
(
2021
),
pp. 57-69
Persistent link: https://www.econbiz.de/10012656194
Saved in:
3
Modeling and forecasting realized covariance matrices with accounting for leverage
Anatolyev, Stanislav
;
Kobotaev, Nikita
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 114-139
Persistent link: https://www.econbiz.de/10012038156
Saved in:
4
The determinants of co-movement dynamics between sukuk and conventional bonds
Hassan, M. Kabir
;
Paltrinieri, Andrea
;
Dreassi, Alberto
; …
- In:
The quarterly review of economics and finance : journal …
68
(
2018
),
pp. 73-84
Persistent link: https://www.econbiz.de/10012034513
Saved in:
5
Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection
Sant'Anna, Leonardo Riegel
;
Filomena, Tiago Pascoal
; …
- In:
The quarterly review of economics and finance : journal …
65
(
2017
),
pp. 146-157
Persistent link: https://www.econbiz.de/10011792475
Saved in:
6
Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
Saved in:
7
Predicting the daily covariance matrix for S&P 100 stock using intraday data : but which frequency to use?
Pooter, Michiel de
;
Martens, Martin
;
Dijk, Dick van
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 199-229
Persistent link: https://www.econbiz.de/10003761224
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8
Effects of decision interval on optimal intertemporal portfolios with serially correlated returns
Mitchell, Douglas W.
- In:
The quarterly review of economics and finance : journal …
41
(
2001
)
3
,
pp. 427-438
Persistent link: https://www.econbiz.de/10001603000
Saved in:
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