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~person:"Engle, Robert F."
~person:"Herwartz, Helmut"
~subject:"Analysis of variance"
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Analysis of variance
Volatility
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Engle, Robert F.
Herwartz, Helmut
Bauwens, Luc
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Bonato, Matteo
5
Caporin, Massimiliano
5
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5
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1
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2022
-
This version: January 2022
but also of dynamic correlations, is the concept of a regularized return, obtained from a
volatility
proxy in conjunction …
Persistent link: https://www.econbiz.de/10013040932
Saved in:
2
Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
Saved in:
3
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2021
-
This version: June 2021
but also of dynamic correlations, is the concept of a regularized return, obtained from a
volatility
proxy in conjunction …
Persistent link: https://www.econbiz.de/10012584099
Saved in:
4
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2020
covariances, is the concept of a regularized return, obtained from a
volatility
proxy in conjunction with a smoothed sign …
Persistent link: https://www.econbiz.de/10012253083
Saved in:
5
Measuring Spot Variance Spillovers When (Co)Variances are Time-Varying - The Case of Multivariate GARCH Models
Fengler, Matthias R.
-
2016
We propose global and disaggregated spillover indices that allow us to assess variance and covariance spillovers, locally in time and conditionally on time-t information. Key to our approach is the vector moving average representation of the half-vectorized 'squared' multivariate GARCH process...
Persistent link: https://www.econbiz.de/10012988156
Saved in:
6
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:
7
Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Fengler, Matthias
;
Herwartz, Helmut
- In:
Oxford bulletin of economics and statistics
80
(
2018
)
1
,
pp. 135-159
Persistent link: https://www.econbiz.de/10011969544
Saved in:
8
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Saved in:
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