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:"Multivariate Volatility"
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
ARCH-Modell
37
Volatilität
36
Volatility
35
ARCH model
34
Multivariate Analyse
29
Multivariate analysis
28
Multivariate volatility
27
Correlation
24
multivariate volatility
24
Korrelation
23
Theorie
20
Time series analysis
19
Theory
18
Zeitreihenanalyse
18
Estimation
15
Forecasting model
15
Prognoseverfahren
15
Schätzung
15
Varianzanalyse
13
Analysis of variance
12
Estimation theory
11
Schätztheorie
11
Portfolio selection
10
Portfolio-Management
10
multivariate volatility models
10
Capital income
9
Kapitaleinkommen
9
GARCH
8
realized covariance
7
Student's t copula
6
fractional integration
6
high-frequency data
6
Multivariate Volatility
5
Statistical distribution
5
Statistische Verteilung
5
Wishart distribution
5
multivariate GARCH
5
Bayesian inference
4
EWMA
4
HEAVY model
4
more ...
less ...
Online availability
All
Free
45
Undetermined
27
Type of publication
All
Book / Working Paper
48
Article
40
Type of publication (narrower categories)
All
Article in journal
26
Aufsatz in Zeitschrift
26
Working Paper
20
Arbeitspapier
10
Graue Literatur
10
Non-commercial literature
10
Thesis
1
more ...
less ...
Language
All
English
57
Undetermined
28
German
2
Spanish
1
Author
All
Lucas, André
10
Koopman, Siem Jan
9
Janus, Paweł
6
Noureldin, Diaa
6
Sheppard, Kevin
6
Opschoor, Anne
5
Shephard, Neil
5
Au-Yeung, Siu Pang
4
Gannon, Gerard
4
Hafner, Christian M.
4
Hansen, Peter Reinhard
4
Janus, Pawel
4
Clements, Adam
3
Cremers, Heinz
3
Krasnosselski, Nikolai
3
Sanddorf, Walter
3
Xu, Yongdeng
3
BAUWENS, Luc
2
Becker, Ralf
2
Benavides, Guillermo
2
Capistrán, Carlos
2
Caporin, Massimiliano
2
Doolan, Mark
2
Erdogan, Oral
2
Halbleib, Roxana
2
He, Changli
2
Herwartz, H.
2
Herwartz, Helmut
2
Hurn, Stan
2
Idier, Julien
2
Karahasan, B. Can
2
Marçal, Emerson F.
2
Moussa, Karim
2
Ranaldo, Angelo
2
Rombouts, Jeroen V. K.
2
Sengoz, M. Hakan
2
Tata, Kenan
2
Teräsvirta, Timo
2
Valls Pereira, Pedro L.
2
Voev, Valeri
2
more ...
less ...
Institution
All
Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance
3
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
2
Department of Economics, Oxford University
2
Economics Group, Nuffield College, University of Oxford
2
National Centre for Econometric Research (NCER)
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Banco de México
1
Banque de France
1
Center for Applied Statistics and Econometrics (CASE), Humboldt-Universität Berlin
1
Centro de Estudios Económicos, Colegio de México
1
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
1
Erasmus University Rotterdam, Econometric Institute
1
Fachbereich Wirtschaftswissenschaften, Universität Konstanz
1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
Frankfurt School of Finance and Management
1
Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
1
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
1
School of Economics and Management, University of Aarhus
1
Tinbergen Institute
1
Tinbergen Instituut
1
more ...
less ...
Published in...
All
Discussion paper / Tinbergen Institute
5
International journal of forecasting
4
Tinbergen Institute Discussion Paper
4
Accounting, Finance, Financial Planning and Insurance Series
3
Quantitative Finance
3
Applied Econometrics
2
CORE Discussion Papers
2
Economics Papers / Economics Group, Nuffield College, University of Oxford
2
Economics Series Working Papers / Department of Economics, Oxford University
2
Frankfurt School - Working Paper Series
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics
2
MPRA Paper
2
NCER Working Paper Series
2
SSE/EFI Working Paper Series in Economics and Finance
2
The European journal of finance
2
Tinbergen Institute Discussion Papers
2
Applied economics
1
CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series
1
CREATES Research Papers
1
Cardiff Economics Working Papers
1
Cardiff economics working papers
1
Central European journal of economic modelling and econometrics
1
Discussion Papers (ECON - Département des Sciences Economiques)
1
Dynamic Econometric Models
1
Econometric Institute Report
1
Econometric Institute Research Papers
1
Economics Bulletin
1
Economics Working Paper
1
Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
1
Finance research letters
1
International Journal of Financial Markets and Derivatives
1
International Review of Economics & Finance
1
International review of economics & finance : IREF
1
Investment management and financial innovations
1
Journal of Econometrics
1
Journal of Empirical Finance
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
more ...
less ...
Source
All
RePEc
41
ECONIS (ZBW)
36
EconStor
10
BASE
1
Showing
71
-
80
of
88
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
71
Testing for causality in variance using multivariate GARCH models
Hafner, Christian Matthias
;
Herwartz, H.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2004
that a convenient alternative to residual based testing is to specify a
multivariate
volatility
model, such as multivariate …
Persistent link: https://www.econbiz.de/10010837782
Saved in:
72
Testing for Causality in Variance using Multivariate GARCH Models
Hafner, Christian M.
;
Herwartz, Helmut
-
Institut für Volkswirtschaftslehre, …
-
2004
that a convenient alternative to residual based testing is to specify a
multivariate
volatility
model, such as multivariate …
Persistent link: https://www.econbiz.de/10005082920
Saved in:
73
Semiparametric
multivariate
volatility
models
Rombouts, Jeroen V. K.
;
Hafner, Christian M.
-
Center for Applied Statistics and Econometrics (CASE), …
-
2004
Estimation of
multivariate
volatility
models is usually carried out by quasi maximum likelihood (QMLE), for which …
Persistent link: https://www.econbiz.de/10009228856
Saved in:
74
Multivariate High-Frequency-Based Volatility (HEAVY) Models
Noureldin, Diaa
;
Shephard, Neil
;
Sheppard, Kevin
-
Department of Economics, Oxford University
-
2011
This paper introduces a new class of
multivariate
volatility
models that utilizes high-frequency data. We discuss the …
Persistent link: https://www.econbiz.de/10008852583
Saved in:
75
Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models
Idier, Julien
- In:
The European Journal of Finance
17
(
2011
)
1
,
pp. 27-48
During financial crises, interest is strong for analysing market comovements. However, a majority of these analyses is based only on correlations. This article uses Markov switching multifractal models to derive new indicators by considering different horizons for dependency among four stock...
Persistent link: https://www.econbiz.de/10008773665
Saved in:
76
Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien
- In:
The European journal of finance
17
(
2011
)
1/2
,
pp. 27-48
Persistent link: https://www.econbiz.de/10009155466
Saved in:
77
An application of the analogy between vector ARCH and vector random coefficient autoregressive models
He, Changli
;
Teräsvirta, Timo
-
2002
In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the...
Persistent link: https://www.econbiz.de/10010281189
Saved in:
78
An application of the analogy between vector ARCH and vector random coefficient autoregressive models
He, Changli
;
Teräsvirta, Timo
-
Economics Institute for Research (SIR), …
-
2002
In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the...
Persistent link: https://www.econbiz.de/10005649365
Saved in:
79
Optimal portfolio allocation strategies with dynamic factor models
Thomaidis, Nikos S.
;
Roumpis, Efthimios
;
Kondakis, Nick
- In:
International Journal of Financial Markets and Derivatives
1
(
2010
)
4
,
pp. 352-370
models and
multivariate
volatility
parametrisations. We attempt to elaborate on the fundamental structure of the Fama and …
Persistent link: https://www.econbiz.de/10008755235
Saved in:
80
Dynamic interactive cycles during the 2008 financial crisis
Neokosmidis, Ioannis M.
;
Polimenis, Vassilis
- In:
Modern economy
1
(
2010
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009306012
Saved in:
First
Prev
1
2
3
4
5
6
7
8
9
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
