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  • Search: subject:"Multivariate volatility"
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Year of publication
Subject
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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
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Online availability
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Free 45 Undetermined 27
Type of publication
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Book / Working Paper 48 Article 40
Type of publication (narrower categories)
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Article in journal 26 Aufsatz in Zeitschrift 26 Working Paper 20 Arbeitspapier 10 Graue Literatur 10 Non-commercial literature 10 Thesis 1
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Language
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English 57 Undetermined 28 German 2 Spanish 1
Author
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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
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Institution
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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
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Published in...
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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
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Source
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RePEc 41 ECONIS (ZBW) 36 EconStor 10 BASE 1
Showing 1 - 10 of 88
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On the correlations in linearized multivariate stochastic volatility models
Moussa, Karim - 2025
In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation...
Persistent link: https://www.econbiz.de/10015333113
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On the correlations in linearized multivariate stochastic volatility models
Moussa, Karim - 2025
In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation...
Persistent link: https://www.econbiz.de/10015361377
Saved in:
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Large-dimensional portfolio selection with a high-frequency-based dynamic factor model
Tranberg Bodilsen, Simon - 2025
Persistent link: https://www.econbiz.de/10015339181
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Market risk modeling with option-implied covariances and score-driven dynamics
Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27
Persistent link: https://www.econbiz.de/10014534822
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Recurrent neural network GO-GARCH model for portfolio selection
Burda, Martin; Schroeder, Adrian K. - In: Journal of time series econometrics 16 (2024) 2, pp. 67-81
Persistent link: https://www.econbiz.de/10015117680
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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
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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 … volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding …
Persistent link: https://www.econbiz.de/10015064180
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Reduced rank regression models in economics and finance
Cubadda, Gianluca; Hecq, Alain W. J. - 2021
Persistent link: https://www.econbiz.de/10013257759
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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Projected Dynamic Conditional Correlations
Llorens-Terrazas, Jordi; Brownlees, Christian - In: International journal of forecasting 39 (2023) 4, pp. 1761-1776
Persistent link: https://www.econbiz.de/10014465352
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