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Search: subject:"Conditional covariances"
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BEKK
14
GARCC
14
Conditional correlations
11
Conditional covariances
10
conditional covariances
10
Korrelation
9
Assumed properties
8
Asymptotic properties
8
Derived model
8
Diagnostic check
8
Stated representation
8
conditional correlations
8
Correlation
7
DCC
7
DCC representation
7
Filter
7
Moments
7
Regularity conditions
7
Theorie
7
Two step estimators
7
filter
7
moments
7
regularity conditions
7
two step estimators
7
assumed properties
6
asymptotic properties
6
derived model
6
diagnostic check
6
stated representation
6
Theory
5
Hadamard models
4
Statistische Methode
4
diagonal models
4
scalar models
4
targeting
4
ARCH model
3
ARCH-Modell
3
Asymmetry
3
Dynamic covariance matrix
3
Finite sample properties
3
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Free
18
Undetermined
6
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Book / Working Paper
21
Article
6
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Working Paper
6
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4
Aufsatz in Zeitschrift
4
Arbeitspapier
3
Graue Literatur
3
Non-commercial literature
3
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16
English
11
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McAleer, Michael
21
Caporin, Massimiliano
18
Asai, Manabu
3
Chang, Chia-Lin
3
Burda, Martin
1
Caporin, M.
1
Giudici, Paolo
1
Hashem, Shatha Qamhieh
1
Joseph, Nathan L.
1
Joulmer, Joulmer
1
Mazouz, Khelifa
1
McAleer, M.J.
1
Stout, William
1
Turtle, Harry J.
1
Wang, Kainan
1
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Department of Economics and Finance, College of Business and Economics
3
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
3
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
3
Institute of Economic Research, Kyoto University
3
Tinbergen Instituut
2
Erasmus University Rotterdam, Econometric Institute
1
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Discussion paper / Tinbergen Institute
3
Documentos de Trabajo del ICAE
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Econometric Institute Research Papers
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3
Working Papers in Economics
3
Tinbergen Institute Discussion Papers
2
Econometric Institute Report
1
Journal of Banking & Finance
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of time series econometrics
1
Psychometrika
1
The journal of network theory in finance
1
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RePEc
17
ECONIS (ZBW)
7
EconStor
3
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11
Ten Things You Should Know About DCC
Caporin, Massimiliano
;
McAleer, Michael
-
Institute of Economic Research, Kyoto University
-
2013
given for caution about the use of DCC include the following: DCC represents the dynamic
conditional
covariances
of the …
Persistent link: https://www.econbiz.de/10010633099
Saved in:
12
Ten Things you should know about the Dynamic Conditional Correlation Representation
Caporin, Massimiliano
;
McAleer, Michael
-
Tinbergen Instituut
-
2013
include the following: DCC represents the dynamic
conditional
covariances
of the standardized residuals, and hence does not …
Persistent link: https://www.econbiz.de/10011255860
Saved in:
13
Ten Things you should know about DCC
Caporin, Massimiliano
;
McAleer, Michael
-
Tinbergen Instituut
-
2013
given for caution about the use of DCC include the following: DCC represents the dynamic
conditional
covariances
of the …
Persistent link: https://www.econbiz.de/10011256093
Saved in:
14
Ten things you should know about the dynamic conditional correlation representation
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009767004
Saved in:
15
Ten things you should know about DCC
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009725302
Saved in:
16
The benefits of improved covariance estimation
Turtle, Harry J.
;
Wang, Kainan
- In:
Journal of empirical finance
37
(
2016
),
pp. 233-246
Persistent link: https://www.econbiz.de/10011663041
Saved in:
17
NetMES : a network based marginal expected shortfall measure
Hashem, Shatha Qamhieh
;
Giudici, Paolo
- In:
The journal of network theory in finance
2
(
2016
)
3
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011668564
Saved in:
18
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Caporin, Massimiliano
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2010
organizations. The two most widely used models of
conditional
covariances
and correlations in the class of multivariate GARCH models …
Persistent link: https://www.econbiz.de/10010731849
Saved in:
19
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Caporin, M.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2010
organizations. The two most widely used models of
conditional
covariances
and correlations in the class of multivariate GARCH models …
Persistent link: https://www.econbiz.de/10008584799
Saved in:
20
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Caporin, Massimiliano
;
McAleer, Michael
-
Institute of Economic Research, Kyoto University
-
2010
organizations. The two most widely used models of
conditional
covariances
and correlations in the class of multivariate GARCH models …
Persistent link: https://www.econbiz.de/10008725778
Saved in:
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