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  • Search: subject:"Realized covariance"
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Year of publication
Subject
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Correlation 64 Korrelation 64 Volatilität 43 Volatility 42 Varianzanalyse 40 Analysis of variance 39 realized covariance 37 Realized covariance 34 Forecasting model 32 Prognoseverfahren 32 Zeitreihenanalyse 27 Estimation theory 26 Schätztheorie 26 Time series analysis 26 Theorie 25 Kapitaleinkommen 24 Theory 24 ARCH model 23 ARCH-Modell 23 Capital income 23 Estimation 22 Schätzung 21 Portfolio selection 17 Portfolio-Management 17 Realized covariance matrix 16 Forecasting 13 Multivariate Analyse 11 Multivariate analysis 11 Realized Covariance 10 Wishart distribution 10 Börsenkurs 9 Market microstructure 9 forecasting 9 High-frequency data 8 Marktmikrostruktur 8 Share price 8 Statistical distribution 8 Statistische Verteilung 8 high-frequency data 8 multivariate volatility 8
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Online availability
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Free 63 Undetermined 42 CC license 1
Type of publication
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Book / Working Paper 61 Article 58
Type of publication (narrower categories)
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Article in journal 47 Aufsatz in Zeitschrift 47 Working Paper 26 Arbeitspapier 16 Graue Literatur 16 Non-commercial literature 16 Article 3 Hochschulschrift 2 Collection of articles of several authors 1 Collection of articles written by one author 1 Sammelwerk 1 Sammlung 1 research-article 1
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Language
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English 87 Undetermined 31 German 1
Author
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Opschoor, Anne 8 Asai, Manabu 7 Gribisch, Bastian 7 Halbleib, Roxana 7 Lucas, André 7 McAleer, Michael 7 Hartkopf, Jan Patrick 6 Liesenfeld, Roman 6 Voev, Valeri 6 Weigand, Roland 6 Golosnoy, Vasyl 5 Medeiros, Marcelo C. 5 Sheppard, Kevin 5 Boudt, Kris 4 Corsi, Fulvio 4 Jin, Xin 4 Ubukata, Masato 4 Alfelt, Gustav 3 BAUWENS, Luc 3 Bauwens, Luc 3 Bodnar, Taras 3 Callot, Laurent 3 Janus, Paweł 3 Javed, Farrukh 3 Kock, Anders B. 3 Laurent, Sébastien 3 Liu, Jia 3 Okhrin, Ostap 3 Omori, Yasuhiro 3 STORTI, Giuseppe 3 Storti, Giuseppe 3 Tyrcha, Joanna 3 Yamauchi, Yuta 3 Yang, Qiao 3 Amendola, Alessandra 2 Anderson, Heather M. 2 Audrino, Francesco 2 Bannouh, Bannouh, K. 2 Blasques, Francisco 2 Braione, Manuela 2
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Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 School of Economics and Management, University of Aarhus 3 School of Economics and Political Science, Universität St. Gallen 3 Tinbergen Instituut 3 Department of Economics, Oxford University 2 European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Department of Econometrics and Business Statistics, Monash Business School 1 Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin" 1 Economics Group, Nuffield College, University of Oxford 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Erasmus University Rotterdam, Econometric Institute 1 Fachbereich Wirtschaftswissenschaften, Universität Konstanz 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Graduate School of Economics, Osaka University 1 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 Institute of Economic Research, Kyoto University 1 Rimini Centre for Economic Analysis (RCEA) 1 Solvay Brussels School of Economics and Management, Université Libre de Bruxelles 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1 Wirtschaftswissenschaftliche Fakultät, Universität Regensburg 1
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Published in...
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Discussion paper / Tinbergen Institute 6 Journal of financial econometrics 5 Tinbergen Institute Discussion Paper 5 CORE Discussion Papers 3 CREATES Research Papers 3 Journal of econometrics 3 Journal of forecasting 3 Quantitative finance 3 Tinbergen Institute Discussion Papers 3 CIRJE discussion papers / F series 2 Econometric Institute Research Papers 2 Econometric reviews 2 Economics Series Working Papers / Department of Economics, Oxford University 2 Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen 2 Empirical economics : a quarterly journal of the Institute for Advanced Studies 2 Finance research letters 2 International journal of forecasting 2 Journal of banking & finance 2 Journal of empirical finance 2 Journal of financial econometrics : official journal of the Society for Financial Econometrics 2 Journal of risk 2 Working Papers ECARES 2 Working paper 2 Annals of economics and statistics 1 Applied economics 1 Applied economics letters 1 Applied mathematical finance 1 BGPE Discussion Paper 1 BGPE discussion paper : Bavarian graduate program in economics 1 CORE discussion papers : DP 1 CoFE Discussion Paper 1 Computational Statistics & Data Analysis 1 Department of Economics University of Siena 1 Department of Economics discussion paper series / University of Oxford 1 Discussion Papers in Economics and Business 1 Documentos de Trabajo del ICAE 1 ERIM Report Series Research in Management 1 Econometric Institute Report 1 Econometric Reviews 1 Econometrics 1
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Source
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ECONIS (ZBW) 65 RePEc 40 EconStor 13 Other ZBW resources 1
Showing 21 - 30 of 119
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2020
Realized covariance matrices are often constructed under the assumption that richness of intra-day return data is … relation is not guaranteed. Under these common conditions, realized covariance matrices may obtain as singular by construction … dynamics of time series of singular realized covariance matrices, extending the rich literature on econometric Wishart time …
Persistent link: https://www.econbiz.de/10012654472
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2020
Persistent link: https://www.econbiz.de/10013335000
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Multivariate fractional components analysis
Hartl, Tobias; Weigand, Roland - 2019
Persistent link: https://www.econbiz.de/10011962831
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High-dimensional realized covariance estimation : a parametric approach
Buccheri, G.; Mboussa Anga, G. - In: Quantitative finance 22 (2022) 11, pp. 2093-2107
Persistent link: https://www.econbiz.de/10013490925
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Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui; Zhang, Yi - In: Economic modelling 106 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
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Infinite Markov pooling of predictive distributions
Jin, Xin; Maheu, John M.; Yang, Qiao - In: Journal of econometrics 228 (2022) 2, pp. 302-321
Persistent link: https://www.econbiz.de/10013441752
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A geometric framework for covariance dynamics
Han, Chulwoo; Park, Frank C. - In: Journal of banking & finance 134 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013400017
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Improving hedging performance by using high-low range
Lai, Yu-Sheng - In: Finance research letters 48 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10013463862
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Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland - 2018
Persistent link: https://www.econbiz.de/10012197752
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A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo; Buccheri, Giuseppe; Corsi, Fulvio - In: International journal of forecasting 37 (2021) 2, pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
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