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Search: subject:"Dynamic covariance"
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Correlation
10
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Estimation theory
8
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8
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8
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7
Dynamic covariance matrix
6
ARCH model
5
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Dynamic covariance
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3
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Matrix-exponential transformation
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Realized conditional covariances
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Semiparametric estimation
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Spillover effect
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Asai, Manabu
3
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3
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3
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3
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3
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3
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1
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ECONIS (ZBW)
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11
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
Saved in:
12
A new semiparametric estimation approach for large
dynamic
covariance
matrices with multiple conditioning variables
Chen, Jia
;
Li, Degui
;
Linton, Oliver
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 155-176
Persistent link: https://www.econbiz.de/10012303906
Saved in:
13
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:
14
Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets
Liow, Kim
;
Chen, Zhiwei
;
Liu, Jingran
- In:
The Journal of Real Estate Finance and Economics
42
(
2011
)
3
,
pp. 295-328
Persistent link: https://www.econbiz.de/10008926159
Saved in:
15
Forecasting time-varying covariance with a range-based dynamic conditional correlation model
Chou, Ray
;
Wu, Chun-Chou
;
Liu, Nathan
- In:
Review of Quantitative Finance and Accounting
33
(
2009
)
4
,
pp. 327-345
Persistent link: https://www.econbiz.de/10008531529
Saved in:
16
A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
Hudson, Brent
;
Gerlach, Richard
- In:
TEST: An Official Journal of the Spanish Society of …
17
(
2008
)
3
,
pp. 606-627
Persistent link: https://www.econbiz.de/10005004353
Saved in:
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