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~person:"Engle, Robert F."
~subject:"Börsenkurs"
~subject:"Estimation"
~subject:"Portfolio-Management"
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Börsenkurs
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ARCH model
60
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59
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29
Volatilität
28
Theorie
23
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23
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19
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19
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19
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19
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13
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13
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13
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12
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11
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9
nonlinear shrinkage
9
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multivariate GARCH
7
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intraday data
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Engle, Robert F.
McAleer, Michael
66
Gupta, Rangan
48
Ma, Feng
34
Chang, Chia-Lin
33
Bouri, Elie
27
Bauwens, Luc
23
Herwartz, Helmut
23
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23
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23
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19
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18
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18
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18
Yoon, Seong-min
18
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17
Silvennoinen, Annastiina
16
Zhang, Yaojie
16
Caporin, Massimiliano
15
Chiang, Thomas C.
15
Hafner, Christian M.
15
Jawadi, Fredj
15
Kang, Sang Hoon
15
Allen, David E.
14
Floros, Christos
14
Hammoudeh, Shawkat
14
Teräsvirta, Timo
14
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13
Demirer, Rıza
13
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13
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13
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13
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13
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13
Brooks, Robert
12
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12
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12
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12
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5
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4
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2
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1
Journal of banking & finance
1
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1
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1
The definitive guide to CDOs : market, application, valuation and hedging
1
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ECONIS (ZBW)
20
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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
Multivariate
GARCH
models do not perform well in large dimensions due to the so-called curse of dimensionality. The …
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
Multivariate
GARCH
models do not perform well in large dimensions due to the so-called curse of dimensionality. The …
Persistent link: https://www.econbiz.de/10012584099
Saved in:
4
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2017
-
Revised version
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/
GARCH
…
Persistent link: https://www.econbiz.de/10011640555
Saved in:
5
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2020
as Markowitz portfolio selection. A popular tool to this end are multivariate
GARCH
models. Historically, such models did …
Persistent link: https://www.econbiz.de/10012253083
Saved in:
6
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 363-375
Persistent link: https://www.econbiz.de/10012178181
Saved in:
7
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
8
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2016
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/
GARCH
…
Persistent link: https://www.econbiz.de/10011518597
Saved in:
9
The factor-spline-
GARCH
model for high and low frequency correlations
Rangel, Jose Gonzalo
;
Engle, Robert F.
-
2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-
GARCH
; Idiosyncratic volatility ; Long …
Persistent link: https://www.econbiz.de/10003821063
Saved in:
10
The spline
GARCH
model for unconditional volatility and its global macroeconomic causes
Engle, Robert F.
;
Rangel, Jose Gonzalo
-
2005
Persistent link: https://www.econbiz.de/10003331373
Saved in:
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