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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
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Arbeitspapier
3
Graue Literatur
3
Non-commercial literature
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16
English
11
Author
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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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KIER Working Papers
3
Tinbergen Institute Discussion Paper
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
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RePEc
17
ECONIS (ZBW)
7
EconStor
3
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21
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
Caporin, Massimiliano
;
McAleer, Michael
-
Facultad de Ciencias Económicas y Empresariales, …
-
2009
widely used models of
conditional
covariances
and correlations are BEKK and DCC. BEKK suffers from the archetypal "curse of …
Persistent link: https://www.econbiz.de/10005115640
Saved in:
22
Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
Burda, Martin
- In:
Journal of time series econometrics
7
(
2015
)
1
,
pp. 95-113
Persistent link: https://www.econbiz.de/10010510040
Saved in:
23
Ten Things You Should Know About the Dynamic Conditional Correlation Representation
Caporin, Massimiliano
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
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/10010907413
Saved in:
24
Ten Things You Should Know About DCC
Caporin, Massimiliano
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
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/10010631766
Saved in:
25
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Caporin, Massimiliano
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
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/10010907410
Saved in:
26
Stock price reaction following large one-day price changes: UK evidence
Mazouz, Khelifa
;
Joseph, Nathan L.
;
Joulmer, Joulmer
- In:
Journal of Banking & Finance
33
(
2009
)
8
,
pp. 1481-1493
reaction to shocks is unaffected when we estimate the CARs using the
conditional
covariances
of the pricing variables. …
Persistent link: https://www.econbiz.de/10005006313
Saved in:
27
Psychometrics: From practice to theory and back
Stout, William
- In:
Psychometrika
67
(
2002
)
4
,
pp. 485-518
Persistent link: https://www.econbiz.de/10005612737
Saved in:
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