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~person:"Alfelt, Gustav"
~person:"Fengler, Matthias"
~subject:"Risikomaß"
~subject:"Zeitreihenanalyse"
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Risikomaß
Zeitreihenanalyse
Analysis of variance
6
Varianzanalyse
6
Volatility
5
Volatilität
5
Theorie
4
Theory
4
Spillover effect
3
Spillover-Effekt
3
Time series analysis
3
ARCH model
2
ARCH-Modell
2
Capital income
2
Correlation
2
Covariance targeting
2
Decomposition method
2
Dekompositionsverfahren
2
Estimation
2
Estimation theory
2
High-dimensional data
2
Kapitaleinkommen
2
Korrelation
2
Realized covariance matrix
2
Schätztheorie
2
Schätzung
2
Stock co-volatility
2
Time series matrix-variate model
2
Additive models
1
Backfitting
1
Covariance spillovers
1
Heterogeneous autoregressive model
1
Lasso
1
Modellierung
1
Multivariate Analyse
1
Multivariate GARCH
1
Multivariate analysis
1
Nichtparametrisches Verfahren
1
Nonparametric statistics
1
Nonparametric time series analysis
1
Realized variance
1
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English
4
Author
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Alfelt, Gustav
Fengler, Matthias
Caporin, Massimiliano
8
McAleer, Michael
7
Bauwens, Luc
6
Opschoor, Anne
6
Voev, Valeri
6
Christensen, Kim
5
Lucas, André
5
Patton, Andrew J.
5
Schmid, Wolfgang
5
Bonato, Matteo
4
Halbleib, Roxana
4
Janus, Paweł
4
Korn, Ralf
4
Podolskij, Mark
4
Bodnar, Taras
3
Bollerslev, Tim
3
Dijk, Herman K. van
3
Fengler, Matthias R.
3
Huschens, Stefan
3
Härdle, Wolfgang
3
Javed, Farrukh
3
Koopman, Siem Jan
3
Ng, Serena
3
Oomen, Roel C. A.
3
Otranto, Edoardo
3
Quaedvlieg, Rogier
3
Ranaldo, Angelo
3
Stahl, Gerhard
3
Xu, Yongdeng
3
Śliwa, Przemysław
3
Andersen, Torben
2
Braione, Manuela
2
Corsi, Fulvio
2
Dobrev, Dobrislav
2
Emmer, Susanne
2
Gao, Jiti
2
Gottschling, Andreas
2
Gribisch, Bastian
2
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Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Working paper
1
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ECONIS (ZBW)
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1
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
-
2021
Persistent link: https://www.econbiz.de/10012603081
Saved in:
3
Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Fengler, Matthias
;
Herwartz, Helmut
-
2015
Persistent link: https://www.econbiz.de/10011717132
Saved in:
4
Specification and structural break tests for additive models with applications to realized variance data
Fengler, Matthias
;
Mammen, Enno
;
Vogt, Michael
- In:
Journal of econometrics
188
(
2015
)
1
,
pp. 196-218
Persistent link: https://www.econbiz.de/10011500308
Saved in:
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