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Search: subject:"Dynamic covariance"
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Dynamic covariance matrix
4
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Antisymmetric Dynamic Covariance
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Asai, Manabu
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A new semiparametric estimation approach for large
dynamic
covariance
matrices with multiple conditioning variables
Chen, Jia
;
Li, Degui
;
Linton, Oliver
-
2018
-
version: October 24, 2018
Persistent link: https://www.econbiz.de/10012671372
Saved in:
2
A new semiparametric estimation approach for large
dynamic
covariance
matrices with multiple conditioning variables
Chen, Jia
;
Li, Degui
;
Linton, Oliver
-
2018
-
Version: October 24, 2018
Persistent link: https://www.econbiz.de/10011941318
Saved in:
3
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
guarantees the positive-definiteness of the
dynamic
covariance
matrix. The contribution of the paper ties in with Robert Basmann …
Persistent link: https://www.econbiz.de/10011586691
Saved in:
4
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
guarantees the positivedefiniteness of the
dynamic
covariance
matrix. The contribution of the paper ties in with Robert Basmann …
Persistent link: https://www.econbiz.de/10011536626
Saved in:
5
A Closer Look at ADC Multivariate GARCH
Haftel, Jared
-
2009
-earlier covariance matrix. In this paper, we outline the volatility modeling processfor an Antisymmetric
Dynamic
Covariance
(ADC …
Persistent link: https://www.econbiz.de/10009475516
Saved in:
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