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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
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Free
18
Undetermined
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Book / Working Paper
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3
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16
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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
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1
Journal of Banking & Finance
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of time series econometrics
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The journal of network theory in finance
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RePEc
17
ECONIS (ZBW)
7
EconStor
3
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1
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:
2
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positive-definiteness of the...
Persistent link: https://www.econbiz.de/10011586691
Saved in:
3
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...
Persistent link: https://www.econbiz.de/10011536626
Saved in:
4
Ten Things you should know about the Dynamic Conditional Correlation Representation
Caporin, Massimiliano
;
McAleer, Michael
-
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/10010326200
Saved in:
5
Ten Things you should know about DCC
Caporin, Massimiliano
;
McAleer, Michael
-
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/10010326244
Saved in:
6
Ten Things You Should Know About the Dynamic Conditional Correlation Representation
Caporin, Massimiliano
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
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/10010731695
Saved in:
7
Ten Things You Should Know About the Dynamic Conditional Correlation Representation
Caporin, Massimiliano
;
McAleer, Michael
-
Facultad de Ciencias Económicas y Empresariales, …
-
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/10010778696
Saved in:
8
Ten Things You Should Know About DCC
Caporin, Massimiliano
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
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/10010837796
Saved in:
9
Ten Things You Should Know About the Dynamic Conditional Correlation Representation
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/10010860070
Saved in:
10
Ten Things You Should Know About DCC
Caporin, Massimiliano
;
McAleer, Michael
-
Facultad de Ciencias Económicas y Empresariales, …
-
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/10010862577
Saved in:
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