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~subject:"Commodity derivative"
~subject:"Estimation"
~subject:"Multivariate GARCH models"
~subject:"multivariate GARCH model"
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Commodity derivative
Estimation
Multivariate GARCH models
multivariate GARCH model
Multivariate GARCH
345
ARCH-Modell
319
ARCH model
302
multivariate GARCH
274
Volatility
244
Volatilität
231
Schätzung
127
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104
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95
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94
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91
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90
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76
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73
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72
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71
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71
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67
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64
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52
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51
multivariate GARCH models
48
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48
Estimation theory
46
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46
Schätztheorie
46
Welt
38
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37
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36
volatility spillovers
36
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35
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Manera, Matteo
11
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7
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5
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5
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4
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4
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4
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4
Silvennoinen, Annastiina
4
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4
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3
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3
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3
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3
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3
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3
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3
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3
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3
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3
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3
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3
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3
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10
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2
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2
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2
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2
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2
Nota di Lavoro
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Acta Universitatis Danubius / Oeconomica
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ECONIS (ZBW)
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RePEc
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31
Incorporating overnight and intraday returns into
multivariate
GARCH
volatility models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
Saved in:
32
Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
Saved in:
33
Volatility transmission between commodities and Ibovespa in the period 2000-2016 : Is there a possibility of diversification?
Vartanian, Pedro Raffy
- In:
International economics and economic policy : IEEP
17
(
2020
)
2
,
pp. 483-501
Persistent link: https://www.econbiz.de/10012256842
Saved in:
34
Money growth variability and output : evidence with credit card-augmented Divisia monetary aggregates
Liu, Jinan
;
Serletis, Apostolos
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
5
,
pp. 1-11
Persistent link: https://www.econbiz.de/10012406039
Saved in:
35
Optimal hedging strategies for natural gas
Zhou, Changfeng
;
Cai, Huan
- In:
International journal of economics and finance
12
(
2020
)
8
,
pp. 1-11
Persistent link: https://www.econbiz.de/10012425888
Saved in:
36
Affine
multivariate
GARCH
models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
37
Price discovery in bitcoin futures
Fassas, Athanasios P.
;
Papadamou, Stephanos
;
Koulis, …
- In:
Research in international business and finance
52
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012543280
Saved in:
38
Impact of stock market trading on currency market volatility spillovers
Baklaci, Hasan Fehmi
;
Aydoğan, Berna
;
Yelkenci, Tezer
- In:
Research in international business and finance
52
(
2020
),
pp. 1-27
Persistent link: https://www.econbiz.de/10012548558
Saved in:
39
Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models
Yu, Lean
;
Zha, Rui
;
Stafylas, Dimitrios
;
He, Kaijian
; …
- In:
International review of financial analysis
68
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012301075
Saved in:
40
Spillover effects in the global copper futures markets: asymmetric
multivariate
GARCH
approaches
Lee, Hyun-Bock
;
Park, Cheol-Ho
- In:
Applied economics
52
(
2020
)
54
,
pp. 5909-5920
Persistent link: https://www.econbiz.de/10012308379
Saved in:
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