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Search: subject:"Multivariate"
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Multivariate distribution
65
Multivariate Verteilung
64
Theorie
45
Theory
45
ARCH model
32
ARCH-Modell
32
Volatility
29
Volatilität
29
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Masih, Mansur
4
Panaretos, John
4
Weiß, Gregor
4
Bersimis, Sotiris
3
Francq, Christian
3
Grydaki, Maria
3
Guesmi, Khaled
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2
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2
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2
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2
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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International review of financial analysis
Journal of banking & finance
MPRA Paper
Statistical Papers / Springer
Insurance / Mathematics & economics
157
Journal of econometrics
125
European journal of operational research : EJOR
112
Journal of Multivariate Analysis
110
Energy economics
103
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93
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
48
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RePEc
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ECONIS (ZBW)
111
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1
Multivariate
long memory structure in the cryptocurrency market : the impact of COVID-19
Assaf, Ata
;
Bhandari, Avishek
;
Charif, Husni
;
Demir, Ender
- In:
International review of financial analysis
82
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013426196
Saved in:
2
Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
Saved in:
3
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
4
Do we need higher-order comoments to enhance mean-variance portfolios? : evidence from a simplified jump process
Khashanah, Khaldoun
;
Simaan, Majeed
;
Simaan, Yusif E.
- In:
International review of financial analysis
81
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013396207
Saved in:
5
A new view of risk contagion by decomposition of dependence structure : Empirical analysis of Sino-US stock markets
Zheng, Yanting
;
Luan, Xin
;
Xin, Lu
;
Liu, Jiaming
- In:
International review of financial analysis
90
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014470629
Saved in:
6
ESG, risk, and (tail) dependence
Bax, Karoline
;
Sahin, Özge
;
Czado, Claudia
;
Paterlini, …
- In:
International review of financial analysis
87
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014456333
Saved in:
7
Factor investing and currency portfolio management
Li, Danyang
;
Zhang, Zhekai
;
Cerrato, Mario
- In:
International review of financial analysis
87
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014460489
Saved in:
8
Commodity market financialization, herding and signals : an asymmetric GARCH R-vine copula approach
Qin, Xiao
;
Yan, Meilan
;
Zhang, Dalu
- In:
International review of financial analysis
89
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014466342
Saved in:
9
Bitcoin vs. fiat currencies : insights from extreme dependence and risk spillover analysis with financial markets
Abid, Ilyes
;
Bouri, Elie
;
Galariotis, Emilios
;
Guesmi, …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014469176
Saved in:
10
Risk spillovers from China's and the US stock markets during high-volatility periods : evidence from East Asianstock markets
Wang, Bo
;
Xiao, Yang
- In:
International review of financial analysis
86
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014249132
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