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  • Search: subject:"Multivariate Realized Volatility"
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Year of publication
Subject
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Estimation 2 Forecasting model 2 Prognoseverfahren 2 Schätzung 2 Time series analysis 2 Volatility 2 Volatilität 2 Zeitreihenanalyse 2 ARCH model 1 ARCH-Modell 1 Aktienmarkt 1 Autocorrelation 1 Autokorrelation 1 Börsenkurs 1 Capital income 1 Equity Index Futures 1 Forecast evaluation 1 Hedging 1 High-Frequency Data 1 Index futures 1 Index-Futures 1 Kapitaleinkommen 1 Minimum-Variance Hedge Ratio 1 Multivariate Analyse 1 Multivariate Realized Volatility 1 Multivariate analysis 1 Multivariate realized volatility 1 Nichtlineare Regression 1 Non-linear models 1 Nonlinear regression 1 Portfolio optimization 1 Portfolio selection 1 Portfolio-Management 1 Share price 1 Smooth transition 1 Stock market 1 Theorie 1 Theory 1 Threshold Autoregressive 1 co-jumping 1
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Online availability
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Free 2
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
All
Barunik, Jozef 1 Bucci, Andrea 1 Lai, Yu-Sheng 1 Palomba, Giulio 1 Rossi, Eduardo 1
Published in...
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ACTA VSFS 1 Quaderno di ricerca 1 The empirical economics letters : a monthly international journal of economics 1
Source
All
ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
Cover Image
Does macroeconomics help in predicting stock markets volatility comovements? : a nonlinear approach
Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - 2019
Persistent link: https://www.econbiz.de/10012154493
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Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?
Barunik, Jozef - In: ACTA VSFS 7 (2013) 1, pp. 6-30
Study of the financial market dependencies have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Current financial crisis have shown that understanding of the dependencies in the markets is crucial...
Persistent link: https://www.econbiz.de/10010860166
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Cover Image
Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905
Persistent link: https://www.econbiz.de/10011459137
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