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~person:"Janus, Paweł"
~subject:"Correlation"
~subject:"Statistical method"
~type_genre:"Article in journal"
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Correlation
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Janus, Paweł
Engle, Robert F.
3
Koopman, Siem Jan
3
Lucas, André
3
Silvennoinen, Annastiina
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Asai, Manabu
2
Caporin, Massimiliano
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of empirical finance
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Journal of financial econometrics
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ECONIS (ZBW)
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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:
2
New HEAVY models for fat-tailed realized covariances and returns
Opschoor, Anne
;
Janus, Paweł
;
Lucas, André
;
Dijk, Dick van
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
4
,
pp. 643-657
Persistent link: https://www.econbiz.de/10012249228
Saved in:
3
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
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