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Volatility
Cluster analysis
4,455
Clusteranalyse
4,451
Theorie
3,917
Theory
3,831
Multivariate Analyse
3,610
Multivariate analysis
3,330
Multivariate distribution
2,431
Multivariate Verteilung
2,423
Regional cluster
1,568
Regionales Cluster
1,568
Zeitreihenanalyse
1,198
Time series analysis
1,171
Schätzung
1,154
Estimation
1,116
ARCH-Modell
995
Volatilität
991
ARCH model
971
Schätztheorie
852
Estimation theory
836
Statistische Verteilung
771
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763
Statistical distribution
763
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760
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734
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727
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717
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696
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644
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638
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627
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624
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558
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545
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544
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533
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498
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496
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490
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483
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397
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327
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651
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190
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186
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185
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13
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5
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4
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English
968
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25
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6
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1
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McAleer, Michael
30
Hammoudeh, Shawkat
17
Asai, Manabu
16
Herwartz, Helmut
16
Koopman, Siem Jan
14
Mensi, Walid
13
Silvennoinen, Annastiina
13
Lucas, André
11
Teräsvirta, Timo
11
Caporin, Massimiliano
10
Laurent, Sébastien
9
Rombouts, Jeroen V. K.
9
Allen, David E.
8
Hafner, Christian M.
8
Tiwari, Aviral Kumar
8
Bouri, Elie
7
Engle, Robert F.
7
Fengler, Matthias R.
7
Kang, Sang Hoon
7
Rossi, Eduardo
7
Stentoft, Lars
7
Al-Yahyaee, Khamis Hamed
6
Aloui, Riadh
6
Clements, Adam
6
Dhaene, Geert
6
Gouriéroux, Christian
6
Guesmi, Khaled
6
Gupta, Rangan
6
Manner, Hans
6
Ning, Cathy Q.
6
Patton, Andrew J.
6
Powell, Robert
6
Sibbertsen, Philipp
6
Violante, Francesco
6
Avdulaj, Krenar
5
Bauwens, Luc
5
Elder, John
5
Gribisch, Bastian
5
Janus, Paweł
5
Ji, Qiang
5
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
3
Centro de Investigación y Docencia Económicas (CIDE)
2
Geary Institute, University College Dublin
2
National Centre for Econometric Research (NCER)
2
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
1
Department of Economics, University of Victoria
1
Dipartimento di Scienze Economiche e Statistiche (DISES), Università degli Studi di Salerno
1
Econometrisch Instituut <Rotterdam>
1
Ekonomiska forskningsinstitutet <Stockholm>
1
Erasmus Research Institute of Management
1
Gottfried Wilhelm Leibniz Universität Hannover
1
Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
Queen Mary College / Department of Economics
1
School of Accounting, Economics, and Finance, University of Wollongong
1
School of Accounting, Finance and Economics <Perth, Western Australia>
1
School of Economics and Management, University of Aarhus
1
Swiss Finance Institute
1
University of Chicago / Graduate School of Business
1
Wettbewerbspolitik und Regulierung in einer Globalen Wirtschaftsordnung <Veranstaltung> <2013, Düsseldorf>
1
Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover
1
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Energy economics
47
Discussion paper / Tinbergen Institute
26
Econometric reviews
23
Journal of econometrics
23
Economic modelling
19
Finance research letters
17
Research in international business and finance
17
The North American journal of economics and finance : a journal of financial economics studies
17
Applied economics
15
International review of economics & finance : IREF
15
International review of financial analysis
15
Journal of banking & finance
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of empirical finance
13
International journal of forecasting
12
Computational economics
10
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
9
Econometrics : open access journal
8
Journal of international financial markets, institutions & money
8
Journal of risk and financial management : JRFM
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
The European journal of finance
8
Economics letters
7
Journal of financial econometrics
7
Journal of forecasting
7
Journal of international money and finance
7
Working paper
7
Econometric Institute research papers
6
International Journal of Energy Economics and Policy : IJEEP
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
International journal of economics and financial issues : IJEFI
5
International journal of finance & economics : IJFE
5
International journal of theoretical and applied finance
5
Journal of applied econometrics
5
Quantitative finance
5
Risks : open access journal
5
The journal of futures markets
5
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
5
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ECONIS (ZBW)
965
RePEc
32
BASE
1
EconStor
1
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1
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10
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999
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date (oldest first)
1
Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014505189
Saved in:
2
L1 regularization for high-dimensional
multivariate
GARCH models
Yao, Sijie
;
Zou, Hui
;
Xing, Haipeng
- In:
Risks : open access journal
12
(
2024
)
2
,
pp. 1-29
The complexity of estimating
multivariate
GARCH models increases significantly with the increase in the number of asset …
Persistent link: https://www.econbiz.de/10014497339
Saved in:
3
Realized variances vs. correlations : unlocking the gains in
multivariate
volatility forecasting
Capera Romero, Laura
;
Opschoor, Anne
-
2024
This paper disentangles the added value of using high-frequency-based (realized) covariance measures on
multivariate
…
Persistent link: https://www.econbiz.de/10015064180
Saved in:
4
Investigating volatility transmission across international equity markets using
multivariate
fractional models
Saâdaoui, Foued
;
Ghadhab, Imen
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2139-2157
Persistent link: https://www.econbiz.de/10014259113
Saved in:
5
Deep learning for
multivariate
volatility forecasting in high-dimensional financial time series
Iwafuchi, Rei
;
Matsuda, Yasumasa
-
2024
Persistent link: https://www.econbiz.de/10014526627
Saved in:
6
Comparison of Value at Risk (VaR)
multivariate
forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
7
Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Dai, Runyu
;
Matsuda, Yasumasa
-
2023
Persistent link: https://www.econbiz.de/10014310363
Saved in:
8
Multivariate
stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
9
Building
multivariate
time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks
Hall, Anthony
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Econometrics : open access journal
11
(
2023
)
1
,
pp. 1-37
This paper proposes a methodology for building
Multivariate
Time-Varying STCC-GARCH models. The novel contributions in …
Persistent link: https://www.econbiz.de/10014281494
Saved in:
10
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
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