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~isPartOf:"Journal of financial econometrics"
~subject:"Portfolio selection"
~subject:"Zeitreihenanalyse"
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Portfolio selection
Zeitreihenanalyse
Multivariate Analyse
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Multivariate analysis
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ARCH model
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Markov switching VARMA representations
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Markowitz portfolio selection
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Bagnato, Luca
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Cavicchioli, Maddalena
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Hansen, Peter Reinhard
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Janus, Paweł
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Journal of financial econometrics
Journal of econometrics
33
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
International journal of forecasting
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Journal of forecasting
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Insurance / Mathematics & economics
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
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Discussion paper / Tinbergen Institute
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Econometrics : open access journal
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Energy economics
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Journal of the American Statistical Association : JASA
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International journal of production research
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KBI
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Working paper series / University of Zurich, Department of Economics
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Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
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Econometric reviews
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International review of financial analysis
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Journal of empirical finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Reihe Quantitative Ökonomie : Ökon
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Risks : open access journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ASTIN bulletin : the journal of the International Actuarial Association
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1
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
Saved in:
2
Factor models for portfolio selection in large dimensions : the good, the better and the ugly
De Nard, Gianluca
;
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of financial econometrics
19
(
2021
)
2
,
pp. 236-257
Persistent link: https://www.econbiz.de/10012620051
Saved in:
3
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
4
Hidden Markov and Semi-Markov models with multivariate leptokurtic-normal components for robust modeling of daily returns series
Maruotti, Antonello
;
Punzo, Antonio
;
Bagnato, Luca
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 91-117
Persistent link: https://www.econbiz.de/10012054429
Saved in:
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