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~isPartOf:"Journal of risk"
~isPartOf:"The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association"
~subject:"Multivariate GARCH"
~subject:"Portfolio selection"
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Search: subject_exact:"Kovarianz"
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Multivariate GARCH
Portfolio selection
Correlation
33
Korrelation
33
Volatility
14
Volatilität
14
ARCH model
10
ARCH-Modell
10
Börsenkurs
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Zeitreihenanalyse
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Aktienindex
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Ankündigungseffekt
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Blitz, David
1
Briner, Beat G.
1
Caldeira, João F.
1
Connor, Gregory
1
Dreassi, Alberto
1
Filomena, Tiago Pascoal
1
Fischer, Matthias
1
Hassan, M. Kabir
1
Liu, Jiapeng
1
Miani, Stefano
1
Mitchell, Douglas W.
1
Nagl, Maximilian
1
Paltrinieri, Andrea
1
Pfeuffer, Marius
1
Qiao, Xiao
1
Rösch, Daniel
1
Sant'Anna, Leonardo Riegel
1
Sclip, Alex
1
Swinkels, Laurens
1
Vliet, Willem Nicolaas van
1
Wang, Yongning
1
Yanou, Ghislain
1
Zhong, Yi
1
Ūsaitė, Kristina
1
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Journal of risk
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
Journal of banking & finance
22
Finance research letters
18
International review of financial analysis
13
Journal of empirical finance
13
Journal of econometrics
11
Research in international business and finance
11
The journal of asset management
11
International review of economics & finance : IREF
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
The review of financial studies
9
Working paper series / University of Zurich, Department of Economics
9
Applied economics
8
Economic modelling
8
Journal of financial econometrics
8
Journal of international financial markets, institutions & money
8
Applied economics letters
7
Quantitative finance
7
The North American journal of economics and finance : a journal of financial economics studies
7
Computational economics
6
Energy economics
6
European journal of operational research : EJOR
6
Financial markets and portfolio management
6
Journal of economic dynamics & control
6
Journal of risk and financial management : JRFM
6
NBER Working Paper
6
NBER working paper series
6
The journal of alternative investments
6
Discussion paper / Tinbergen Institute
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
International journal of forecasting
5
Management science : journal of the Institute for Operations Research and the Management Sciences
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Risks : open access journal
5
The journal of portfolio management : a publication of Institutional Investor
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Applied mathematical finance
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Discussion paper / Deutsche Bundesbank
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Econometric reviews
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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1
Shrinking beta
Blitz, David
;
Swinkels, Laurens
;
Ūsaitė, Kristina
; …
- In:
Journal of risk
24
(
2022
)
6
,
pp. 25-44
Persistent link: https://www.econbiz.de/10013549669
Saved in:
2
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
3
Correlations and volatility spillovers between China and Southeast Asian stock markets
Zhong, Yi
;
Liu, Jiapeng
- In:
The quarterly review of economics and finance : journal …
81
(
2021
),
pp. 57-69
Persistent link: https://www.econbiz.de/10012656194
Saved in:
4
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
5
The determinants of co-movement dynamics between sukuk and conventional bonds
Hassan, M. Kabir
;
Paltrinieri, Andrea
;
Dreassi, Alberto
; …
- In:
The quarterly review of economics and finance : journal …
68
(
2018
),
pp. 73-84
Persistent link: https://www.econbiz.de/10012034513
Saved in:
6
Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection
Sant'Anna, Leonardo Riegel
;
Filomena, Tiago Pascoal
; …
- In:
The quarterly review of economics and finance : journal …
65
(
2017
),
pp. 146-157
Persistent link: https://www.econbiz.de/10011792475
Saved in:
7
Sample tangency portfolio, representativeness and ambiguity : impact of the law of small numbers
Yanou, Ghislain
- In:
Journal of risk
15
(
2012/13
)
1
,
pp. 3-44
Persistent link: https://www.econbiz.de/10009657966
Saved in:
8
How much structure is best? : a comparison of market model, factor model and unstructured equity covariance matrices
Briner, Beat G.
;
Connor, Gregory
- In:
Journal of risk
10
(
2007/08
)
4
,
pp. 3-30
Persistent link: https://www.econbiz.de/10003761342
Saved in:
9
Effects of decision interval on optimal intertemporal portfolios with serially correlated returns
Mitchell, Douglas W.
- In:
The quarterly review of economics and finance : journal …
41
(
2001
)
3
,
pp. 427-438
Persistent link: https://www.econbiz.de/10001603000
Saved in:
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