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~isPartOf:"Journal of econometrics"
~subject:"Risiko"
~subject:"State space model"
~type_genre:"Article in journal"
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Search: subject_exact:"Korrelationskoeffizient"
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Risiko
State space model
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Chan, Joshua
1
Chan, Thomas W. C.
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1
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1
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1
Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model
Gribisch, Bastian
;
Hartkopf, Jan Patrick
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014434377
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2
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
3
Reducing the state space dimension in a large TVP-VAR
Chan, Joshua
;
Eisenstat, Eric
;
Strachan, Rodney W.
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 105-118
Persistent link: https://www.econbiz.de/10012482932
Saved in:
4
Multi-scale tests for serial correlation
Gençay, Ramazan
;
Signori, Daniele
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 62-80
Persistent link: https://www.econbiz.de/10011326817
Saved in:
5
The asymptotic variance of subspace estimates
Chiuso, Alessandro
;
Picci, Giorgio
- In:
Journal of econometrics
118
(
2004
)
1/2
,
pp. 257-291
Persistent link: https://www.econbiz.de/10001823135
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