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~subject:"multivariate GARCH"
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multivariate GARCH
Cluster analysis
4,362
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4,359
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3,872
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3,786
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3,589
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3,248
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2,386
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1,146
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1,093
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978
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976
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954
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Ledoit, Olivier
14
McAleer, Michael
14
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12
Chang, Chia-Lin
11
Tansuchat, Roengchai
10
De Nard, Gianluca
9
Engle, Robert F.
7
Hafner, Christian M.
7
Teräsvirta, Timo
7
McAleer, M.J.
6
Papadamou, Stephanos
6
Tansuchat, R.
6
Chang, C-L.
5
Silvennoinen, Annastiina
5
Siriopoulos, Costas
5
Stein, Michael
5
Bos, Charles S.
4
Cifarelli, Giulio
4
Ghosh, Saurabh
4
Gould, Phillip
4
Grydaki, Maria
4
Hafner, C.M.
4
Hafner, Christian Matthias
4
Haigh, Michael S.
4
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4
Holt, Matthew T.
4
Khamkaew, Thanchanok
4
Kollias, Christos
4
Le Pen, Yannick
4
Munandar, Haris
4
Rombouts, J.V.K.
4
Alessi, Lucia
3
Asai, Manabu
3
Barigozzi, Matteo
3
Capasso, Marco
3
Dhaene, Geert
3
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3
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3
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3
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Erasmus University Rotterdam, Econometric Institute
10
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10
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7
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7
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4
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2
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2
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2
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2
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2
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2
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2
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2
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1
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10
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10
Working Paper
10
Applied economics
8
CORE Discussion Papers
7
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7
Working paper series / University of Zurich, Department of Economics
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ECB Working Paper
4
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
4
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4
Cahiers de recherche
3
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3
Econometric reviews
3
Econometrics
3
Econometrics : open access journal
3
Economics Bulletin
3
Economics Papers from University Paris Dauphine
3
Journal of financial econometrics
3
School of Economics and Finance Discussion Papers and Working Papers Series
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Tinbergen Institute Discussion Paper
3
"Marco Fanno" Working Papers
2
CEPR Discussion Papers
2
CIRANO Working Papers
2
Discussion Paper Series
2
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2
ERIM Report Series Research in Management
2
Emerging Markets Finance and Trade
2
International Journal of Banking, Accounting and Finance
2
International Journal of Financial Studies
2
International journal of bonds and derivatives
2
International journal of economics and business research
2
International journal of finance & economics : IJFE
2
Journal of Agricultural and Resource Economics
2
Journal of finance and investment analysis
2
Journal of forecasting
2
Journal of time series econometrics
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KIER Working Papers
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Kiel Advanced Studies Working Papers
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RePEc
146
ECONIS (ZBW)
90
EconStor
30
BASE
8
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1
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:
2
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:
3
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:
4
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2022
-
This version: January 2022
Multivariate
GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The …
Persistent link: https://www.econbiz.de/10013040932
Saved in:
5
A parsimonious test of constancy of a positive definite correlation matrix in a
multivariate
time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
6
A parsimonious test of constancy of a positive definite correlation matrix in a
multivariate
time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
- In:
Econometrics : open access journal
10
(
2022
)
3
,
pp. 1-41
We construct a parsimonious test of constancy of the correlation matrix in the
multivariate
conditional correlation …
Persistent link: https://www.econbiz.de/10013459316
Saved in:
7
A
multivariate
GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
8
Money and foreign exchange markets dynamics in Nigeria : a
multivariate
GARCH approach
Atoi, Ngozi V.
;
Nwambeke, Chinedu G.
- In:
CBN journal of applied statistics
12
(
2021
)
1
,
pp. 109-138
-GARCH) to access the nature of correlation, while an unrestricted bivariate BEKK-GARCH (1, 1) form of
multivariate
GARCH model …
Persistent link: https://www.econbiz.de/10012604406
Saved in:
9
Asymptotic and finite sample properties for
multivariate
rotated GARCH models
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
; …
- In:
Econometrics : open access journal
9
(
2021
)
2
,
pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating
multivariate
rotated GARCH …
Persistent link: https://www.econbiz.de/10012547429
Saved in:
10
Multivariate
hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
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