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~subject:"Kapitaleinkommen"
~subject:"Rohstoffderivat"
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Kapitaleinkommen
Rohstoffderivat
Multivariate GARCH
345
ARCH-Modell
319
ARCH model
302
multivariate GARCH
274
Volatility
244
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231
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127
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125
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Manera, Matteo
8
De Nard, Gianluca
5
Engle, Robert F.
5
Dhaene, Geert
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Lanza, Alessandro
4
Ledoit, Olivier
4
Nicolini, Marcella
4
Wolf, Michael
4
Wu, Jianbin
4
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3
McAleer, Michael
3
Mensi, Walid
3
Violante, Francesco
3
Al-Jarrah, Idries Mohammad Wanas
2
Al-Yahyaee, Khamis Hamed
2
Behmiri, Niaz Bashiri
2
Benlagha, Noureddine
2
Bouri, Elie
2
Giovannini, Massimo
2
Grasso, Margherita
2
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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
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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
Okhrin, Ostap
2
Pereira, Pedro L. Valls
2
Saleem, Kashif
2
Sehgal, Sanjay
2
Sercu, Piet
2
Silvennoinen, Annastiina
2
Tanattrin Bunnag
2
Teräsvirta, Timo
2
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3
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2
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2
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2
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ECONIS (ZBW)
105
EconStor
3
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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
A
multivariate
GARCH
-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
3
Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu
;
Dufour, Alfonso
- In:
The quarterly review of economics and finance
94
(
2024
),
pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
Saved in:
4
Asset pricing using Block-Cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012543884
Saved in:
5
Asset pricing using Block-Cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012487978
Saved in:
6
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
7
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Saved in:
8
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
9
The US-China trade war and the volatility linkages between energy and agricultural commodities
Cheng, Natalie Fang Ling
;
Hasanov, Akram Shavkatovich
; …
- In:
Energy economics
120
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014284707
Saved in:
10
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
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