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  • Search: subject:"Component Dynamic Models"
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Year of publication
Subject
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MIDAS 2 Model Confidence Set 2 Value-at-Risk 2 ARCH model 1 ARCH-Modell 1 Analysis of variance 1 Capital market returns 1 Component Dynamic Models 1 Correlation 1 Forecasting model 1 Kapitalmarktrendite 1 Korrelation 1 Minimum Variance Portfolio 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Realized Covariance 1 Realized covariance 1 Risikomaß 1 Risk measure 1 Theorie 1 Theory 1 Varianzanalyse 1 Volatility 1 Volatilität 1 component dynamic models 1 minimum variance portfolio 1
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Online availability
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Free 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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BAUWENS, Luc 1 BRAIONE, Manuela 1 Bauwens, Luc 1 Braione, Manuela 1 STORTI, Giuseppe 1 Storti, Giuseppe 1
Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1
Published in...
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Annals of economics and statistics 1 CORE Discussion Papers 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Forecasting comparison of long term component dynamic models for realized covariance matrices
BAUWENS, Luc; BRAIONE, Manuela; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2014
Novel model specifications that include a time-varying long run component in the dynamics of realized covariance matrices are proposed. The adopted modeling framework allows the secular component to enter the model structure either in an additive fashion or as a multiplicative factor, and to be...
Persistent link: https://www.econbiz.de/10011246317
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Cover Image
Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc; Braione, Manuela; Storti, Giuseppe - In: Annals of economics and statistics 123/124 (2016), pp. 103-134
Persistent link: https://www.econbiz.de/10011592738
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