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  • Search: subject:"Covariance modeling"
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Subject
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ARCH model 2 ARCH-Modell 2 Correlation 2 Covariance modeling 2 Estimation theory 2 Korrelation 2 Portfolio selection 2 Portfolio-Management 2 Risikomaß 2 Risk measure 2 Schätztheorie 2 Volatility 2 Volatilität 2 Bayesian inference 1 CAPM 1 Cholesky decomposition 1 Conditional autoregressive model 1 Correlation nonstationarity 1 Covariance structure 1 Dynamic covariance modeling 1 Dynamic mapping 1 Estimation 1 Gaussian plume model 1 Hierarchical model 1 Kincaid tracer experiment 1 Longitudinal data 1 Markov Chain Monte Carlo 1 Multivariate Analyse 1 Multivariate GARCH 1 Multivariate analysis 1 Random effect 1 Risiko 1 Risikomanagement 1 Risk 1 Risk contribution 1 Risk management 1 Schätzung 1 Tail risk 1 VAR model 1 VAR-Modell 1
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Undetermined 4 Free 1
Type of publication
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Article 4 Other 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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Undetermined 3 English 2
Author
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Chan, Thomas W. C. 1 Chu, Amanda M. Y. 1 Heo, Tae-Young 1 Jacqueline M. Hughes-Oliver 1 Kim, Chulmin 1 Lauridsen, Jorgen 1 Law, Keith K. F. 1 Lemmergaard, Jeanette 1 Li, Wai Keung 1 So, Mike Ka-pui 1 Yu, Philip L. H. 1 Zimmerman, Dale L. 1
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Published in...
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Journal of Business Ethics 1 Journal of Multivariate Analysis 1 Journal of econometrics 1 The journal of risk model validation 1
Source
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ECONIS (ZBW) 2 RePEc 2 BASE 1
Showing 1 - 5 of 5
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Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
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An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.; Li, Wai Keung; Yu, Philip L. H. - In: The journal of risk model validation 14 (2020) 2, pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
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Spatial Modeling for Capturing the Effects of Point Sources
Heo, Tae-Young - 2005
The point source is the most common type of source to be modeled for its effect on air pollution. Point sources provide auxiliary information that may impact both the mean and covariance structure of measured responses, but these possible impacts are often overlooked by spatial modelers. In this...
Persistent link: https://www.econbiz.de/10009431162
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Unconstrained models for the covariance structure of multivariate longitudinal data
Kim, Chulmin; Zimmerman, Dale L. - In: Journal of Multivariate Analysis 107 (2012) C, pp. 104-118
The constraint that a covariance matrix must be positive definite presents difficulties for modeling its structure. Pourahmadi (1999, 2000) [18,19] proposed a parameterization of the covariance matrix for univariate longitudinal data in which the parameters are unconstrained, which is based on...
Persistent link: https://www.econbiz.de/10011041901
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The Ethical Climate of Danish Firms: A Discussion and Enhancement of the Ethical-Climate Model
Lemmergaard, Jeanette; Lauridsen, Jorgen - In: Journal of Business Ethics 80 (2008) 4, pp. 653-675
Persistent link: https://www.econbiz.de/10005719761
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