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~subject:"ARCH model"
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Search: subject_exact:"Kendall's tau"
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ARCH model
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Correlation
54
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23
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20
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19
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Journal of empirical finance
Journal of econometrics
46
Economics letters
43
Finance research letters
38
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
37
Economic modelling
35
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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SFB 649 discussion paper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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ECONIS (ZBW)
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1
An adaptive long memory conditional correlation model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
2
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Saved in:
3
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
Saved in:
4
A toolkit for exploiting contemporaneous stock correlations
Hiraki, Kazuhiro
;
Sun, Chuanping
- In:
Journal of empirical finance
65
(
2022
),
pp. 99-124
Persistent link: https://www.econbiz.de/10013286402
Saved in:
5
Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian
;
Hartkopf, Jan Patrick
;
Liesenfeld, Roman
- In:
Journal of empirical finance
55
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012175249
Saved in:
6
Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
54
(
2019
),
pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
Saved in:
7
On the robustness of the principal volatility components
Trucíos, Carlos
;
Hotta, Luiz K.
;
Pereira, Pedro L. Valls
- In:
Journal of empirical finance
52
(
2019
),
pp. 201-219
Persistent link: https://www.econbiz.de/10012171112
Saved in:
8
Exponential smoothing of realized portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Seifert, Miriam
- In:
Journal of empirical finance
53
(
2019
),
pp. 222-237
Persistent link: https://www.econbiz.de/10012171651
Saved in:
9
Industry specific defaults
Kwon, Tae Yeon
;
Lee, Yoonjung
- In:
Journal of empirical finance
45
(
2018
),
pp. 45-58
Persistent link: https://www.econbiz.de/10012102441
Saved in:
10
Multivariate models with long memory dependence in conditional correlation and volatility
Dark, Jonathan
- In:
Journal of empirical finance
48
(
2018
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012109291
Saved in:
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