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~person:"Groenen, Patrick"
~person:"Koopman, Siem Jan"
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Search: subject:"multidimensional scaling"
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Multivariate Analyse
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Groenen, Patrick
Koopman, Siem Jan
Backhaus, Klaus
31
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27
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22
Hafner, Christian M.
20
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18
DeSarbo, Wayne S.
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12
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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ECONIS (ZBW)
13
RePEc
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1
Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard
;
Janus, Paweł
;
Koopman, Siem Jan
-
2016
We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...
Persistent link: https://www.econbiz.de/10011520881
Saved in:
2
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:
3
The Past, Present, and Future of
Multidimensional
Scaling
Groenen, Patrick
;
Borg, Borg, I.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2013
Multidimensional
scaling
(MDS) has established itself as a standard tool for statisticians and applied researchers. Its …
Persistent link: https://www.econbiz.de/10010837849
Saved in:
4
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
-
2011
Persistent link: https://www.econbiz.de/10009720703
Saved in:
5
Long Memory Dynamics for Multivariate Dependence Under Heavy Tails
Janus, Pawel
-
2011
We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to outliers or jumps in the...
Persistent link: https://www.econbiz.de/10013117591
Saved in:
6
Perceptual maps: the good, the bad and the ugly
Groenen, Patrick
;
Gower, Gower, J.C.
;
van de Velden, …
-
Erasmus Research Institute of Management (ERIM), …
-
2010
multidimensional
scaling
, each needing specific requirements for producing the map and interpreting it. Some of the major flaws of …
Persistent link: https://www.econbiz.de/10010837516
Saved in:
7
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10011380135
Saved in:
8
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew
-
2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10013146598
Saved in:
9
Map Based Visualization of Product Catalogs
Kagie, Martijn
;
Groenen, Patrick
;
van Wezel, van Wezel, M.C.
-
Erasmus Research Institute of Management (ERIM), …
-
2009
. Basis of the framework is the Product Catalog Map interface based on
multidimensional
scaling
. Also, we show another type of …
Persistent link: https://www.econbiz.de/10010731146
Saved in:
10
Likelihood functions for state space models with diffuse initial conditions
Francke, Marc K.
;
Koopman, Siem Jan
;
Vos, Aart F. de
-
2008
Persistent link: https://www.econbiz.de/10003706020
Saved in:
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