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~person:"Weigand, Roland"
~subject:"Korrelation"
~subject:"Realized volatility"
~subject:"realized volatility"
~type_genre:"Non-commercial literature"
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Weigand, Roland
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BGPE discussion paper : Bavarian graduate program in economics
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Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland
-
2018
Persistent link: https://www.econbiz.de/10012197752
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Matrix Box-Cox models for multivariate
realized
volatility
Weigand, Roland
-
2014
We propose exible models for multivariate
realized
volatility dynamics which involve generalizations of the Box …-Cox transform to the matrix case. The matrix Box-Cox model of
realized
covariances (MBC-RCov) is based on transformations of the …
Persistent link: https://www.econbiz.de/10010344500
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