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~isPartOf:"MPRA Paper"
~isPartOf:"Statistical Papers / Springer"
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Search: subject:"Multivariate"
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Estimation
Multivariate distribution
32
Multivariate Verteilung
31
Theorie
23
Theory
23
Portfolio selection
19
Portfolio-Management
19
Multivariate GARCH
18
Risikomaß
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14
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Option pricing theory
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multivariate GARCH
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Adams, Zeno
1
Ascheberg, Marius
1
Baur, Dirk G.
1
Bezemer, Dirk Johan
1
Bick, Björn
1
Chevapatrakul, Thanaset
1
Christelis, Dimitris
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Füss, Roland
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Georgarakos, Dimitris
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Merlo, Luca
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Journal of banking & finance
MPRA Paper
Statistical Papers / Springer
Economic modelling
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Journal of econometrics
20
Applied economics
17
Energy economics
17
The North American journal of economics and finance : a journal of financial economics studies
17
Discussion paper / Tinbergen Institute
11
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International journal of forecasting
10
International review of financial analysis
10
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International review of economics & finance : IREF
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Journal of empirical finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
CESifo working papers
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SFB 649 discussion paper
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CAMA working paper series
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
7
Journal of applied econometrics
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Journal of financial econometrics
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Applied economics letters
6
Computational economics
6
ECARES working paper
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Insurance / Mathematics & economics
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International journal of economics and finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of risk
6
Reihe Quantitative Ökonomie : Ökon
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CFS working paper series
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Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
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Econometrics : open access journal
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European journal of operational research : EJOR
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ECONIS (ZBW)
9
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1
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
2
The role of credit in the Great Moderation : a
multivariate
GARCH approach
Grydaki, Maria
;
Bezemer, Dirk Johan
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4615-4626
Persistent link: https://www.econbiz.de/10010248518
Saved in:
3
Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC) : theory and empirical tests
Zhu, Wenjun
;
Wang, Chou-Wen
;
Tan, Ken Seng
- In:
Journal of banking & finance
69
(
2016
),
pp. 20-36
Persistent link: https://www.econbiz.de/10011635001
Saved in:
4
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Saved in:
5
The structure and degree of dependence : a quantile regression approach
Baur, Dirk G.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 786-798
Persistent link: https://www.econbiz.de/10009708741
Saved in:
6
Hedging structured credit products during the credit crisis : a horse race of 10 models
Ascheberg, Marius
;
Bick, Björn
;
Kraft, Holger
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1687-1705
Persistent link: https://www.econbiz.de/10009729477
Saved in:
7
Are correlations constant? : empirical and theoretical results on popular correlation models in finance
Adams, Zeno
;
Füss, Roland
;
Glück, Thorsten
- In:
Journal of banking & finance
84
(
2017
),
pp. 9-24
Persistent link: https://www.econbiz.de/10011816833
Saved in:
8
Investing at home and abroad : different costs, different people?
Christelis, Dimitris
;
Georgarakos, Dimitris
- In:
Journal of banking & finance
37
(
2013
)
6
,
pp. 2069-2086
Persistent link: https://www.econbiz.de/10009742479
Saved in:
9
Return sign forecasts based on conditional risk : evidence from the UK stock market index
Chevapatrakul, Thanaset
- In:
Journal of banking & finance
37
(
2013
)
7
,
pp. 2342-2353
Persistent link: https://www.econbiz.de/10009760654
Saved in:
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