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  • Search: subject:"Multivariate conditional volatility"
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Year of publication
Subject
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ARCH model 5 ARCH-Modell 5 Multivariate conditional volatility 5 Volatility 4 Volatilität 4 multivariate conditional volatility 4 Asymmetry 3 Multivariate Analyse 3 Multivariate analysis 3 Portfolio selection 3 Portfolio-Management 3 Asymptotic properties 2 BEKK 2 Black-Litterman model 2 CAPM 2 DCC 2 Dynamic conditional correlations 2 Financial investment 2 Hedge fund returns 2 Kapitalanlage 2 Long memory 2 Regularity conditions 2 Theorie 2 Theory 2 VAR model 2 VAR-Modell 2 Vector random coefficient autoregressive process 2 agricultural markets 2 asymmetry 2 asymptotic properties 2 definitions of spillovers 2 dynamic conditional correlations 2 long memory 2 portfolio optimization 2 regularity conditions 2 univariate and multivariate conditional volatility models 2 vector random coefficient autoregressive process 2 volatility and covolatility spillovers 2 ARMA model 1 ARMA-Modell 1
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Online availability
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Free 8 Undetermined 3
Type of publication
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Book / Working Paper 8 Article 4
Type of publication (narrower categories)
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Working Paper 7 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article in journal 2 Aufsatz in Zeitschrift 2 Thesis 1
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Language
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English 10 Undetermined 2
Author
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McAleer, Michael 8 Asai, Manabu 4 Harris, Richard D. F. 4 Chan, Felix 2 Chang, Chia-Lin 2 Li, Yiying 2 Mazibas, Murat 2 Stoja, Evarist 2 Tan, Linzhi 2 Hoti, Suhejla 1 Tong, Zhenxu 1 da Veiga, Bernardo 1
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Published in...
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Discussion paper / Tinbergen Institute 3 Tinbergen Institute Discussion Paper 3 Mathematics and Computers in Simulation (MATCOM) 2 European journal of operational research : EJOR 1 International review of financial analysis 1 Staff working papers / Bank of England 1
Source
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ECONIS (ZBW) 6 EconStor 3 RePEc 2 BASE 1
Showing 11 - 12 of 12
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Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
da Veiga, Bernardo; Chan, Felix; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 78 (2008) 2, pp. 155-171
The aim of this paper is to investigate the effect of the Chinese B share market reform on the conditional correlation and information transmission between A and B Shares issued in the Shanghai and Shenzen stock exchanges. Daily returns for the Shanghai A share index (SHA), Shanghai B share...
Persistent link: https://www.econbiz.de/10010748770
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Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
Hoti, Suhejla; McAleer, Michael; Chan, Felix - In: Mathematics and Computers in Simulation (MATCOM) 69 (2005) 1, pp. 46-56
Atmospheric carbon dioxide concentrations (ACDC) are critical to the global temperature control system and climate change, with ACDC levels having increased rapidly since the start of the industrial revolution in the late 1700s, and the climate having become quite unstable with significant...
Persistent link: https://www.econbiz.de/10010870018
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