Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Dynamic covariance"
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
Correlation
10
Korrelation
10
Estimation theory
8
Schätztheorie
8
Volatility
8
Volatilität
7
Dynamic covariance matrix
6
ARCH model
5
ARCH-Modell
5
Portfolio selection
5
Portfolio-Management
5
Dynamic covariance
4
Asymmetry
3
Finite sample properties
3
Forecasting performance
3
Long memory
3
MAMAR
3
Matrix-exponential transformation
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Realized conditional covariances
3
Realized stochastic covariances
3
Semiparametric estimation
3
Sparsity
3
Spillover effect
3
Spillover-Effekt
3
Time series analysis
3
Uniform consistency
3
Zeitreihenanalyse
3
Analysis of variance
2
Estimation
2
Forecasting model
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Prognoseverfahren
2
Risikomaß
2
Risk measure
2
Schätzung
2
Spillovers
2
Stochastic process
2
more ...
less ...
Online availability
All
Undetermined
11
Free
5
Type of publication
All
Article
11
Book / Working Paper
4
Other
1
Type of publication (narrower categories)
All
Article in journal
9
Aufsatz in Zeitschrift
9
Working Paper
3
Arbeitspapier
2
Graue Literatur
2
Non-commercial literature
2
Language
All
English
13
Undetermined
3
Author
All
Asai, Manabu
3
Chang, Chia-Lin
3
Chen, Jia
3
Li, Degui
3
Linton, Oliver
3
McAleer, Michael
3
Chan, Thomas W. C.
1
Chen, Zhiwei
1
Chou, Ray
1
Chu, Amanda M. Y.
1
Fan, Qingliang
1
Gasbarro, Dominic
1
Gerlach, Richard
1
Haftel, Jared
1
Hassan, Kamrul
1
Hoque, Ariful
1
Hudson, Brent
1
Jiang, Binyan
1
Ke, Yuan
1
Law, Keith K. F.
1
Li, Wai Keung
1
Lian, Heng
1
Liow, Kim
1
Liu, Cheng
1
Liu, Jingran
1
Liu, Nathan
1
So, Mike Ka-pui
1
Tang, Cheng Yong
1
Wali, Muammer
1
Wu, Chun-Chou
1
Wu, Ruike
1
Yang, Yanrong
1
Yu, Philip L. H.
1
Zhang, Wenyang
1
Zhong, Wei
1
more ...
less ...
Published in...
All
Journal of econometrics
4
Cambridge working papers in economics
1
Cambridge-INET working papers
1
Discussion paper / Tinbergen Institute
1
Discussion papers in economics
1
Energy economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
Review of Quantitative Finance and Accounting
1
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research
1
The Journal of Real Estate Finance and Economics
1
The journal of risk model validation
1
Tinbergen Institute Discussion Paper
1
more ...
less ...
Source
All
ECONIS (ZBW)
11
RePEc
3
BASE
1
EconStor
1
Showing
1
-
10
of
16
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Dynamic
covariance
matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
2
Time-varying minimum variance portfolio
Fan, Qingliang
;
Wu, Ruike
;
Yang, Yanrong
;
Zhong, Wei
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10015074503
Saved in:
3
High-dimensional
dynamic
covariance
matrices with homogeneous structure
Ke, Yuan
;
Lian, Heng
;
Zhang, Wenyang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 96-110
Persistent link: https://www.econbiz.de/10012804090
Saved in:
4
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
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Islamic stocks, conventional stocks, and crude oil : directional volatility spillover analysis in BRICS
Hassan, Kamrul
;
Hoque, Ariful
;
Wali, Muammer
;
Gasbarro, …
- In:
Energy economics
92
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012520036
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
