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~subject:"Korrelation"
~subject:"long memory"
~type_genre:"Article in journal"
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Korrelation
long memory
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711
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711
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386
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Gribisch, Bastian
7
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4
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4
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4
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3
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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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1
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1
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1
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ECONIS (ZBW)
96
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1
Singular conditional autoregressive Wishart model for
realized
covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Composite forecasting of vast-dimensional
realized
covariance matrices using factor state-space models
Hartkopf, Jan Patrick
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
1
,
pp. 393-436
Persistent link: https://www.econbiz.de/10014226292
Saved in:
3
Weighted least squares
realized
covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
4
Modeling and forecasting
realized
portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013461907
Saved in:
5
A two-component
realized
exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
6
Realized
matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
7
A u-shaped relationship between the crypto fear-greed index and the price synchronicity of cryptocurrencies
Wang, Jying-Nan
;
Liu, Hung-Chun
;
Hsu, Yuan-Teng
- In:
Finance research letters
59
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014445400
Saved in:
8
Does the choice of
realized
covariance measures empirically matter? : a Bayesian density prediction approach
Jin, Xin
;
Liu, Jia
;
Yang, Qiao
- In:
Econometrics : open access journal
9
(
2021
)
4
,
pp. 1-22
This paper suggests a new approach to evaluate
realized
covariance (RCOV) estimators via their predictive power on …
Persistent link: https://www.econbiz.de/10012697796
Saved in:
9
A dynamic conditional approach to forecasting portfolio weights
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
- In:
International journal of forecasting
37
(
2021
)
3
,
pp. 1111-1126
Persistent link: https://www.econbiz.de/10012794818
Saved in:
10
Beta observation-driven models with exogenous regressors : a joint analysis of
realized
correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
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