Search Results - subject:"Spectral decomposition"

How do uncertainties affect the connectedness of global financial markets? : changes during the Russia-Ukraine conflict

Wan, Yang; Wang, Wenhao; He, Shi; Hu, Bing - In: Asia-Pacific journal of accounting & economics : … 31 (2024) 5, pp. 848-875

Persistent link: https://www.econbiz.de/10015073612

Optimal portfolio allocation and asset centrality revisited

Olmo, Jose - In: Quantitative finance 21 (2021) 9, pp. 1475-1490

Persistent link: https://www.econbiz.de/10012624148

The characteristics of the productive structure behind the empirical regularities in production prices curves

Torres-González, Luis Daniel - In: Structural change and economic dynamics : SC+ED 62 (2022), pp. 622-659

Persistent link: https://www.econbiz.de/10013534105

The impact of network topology and market structure on pricing

Chen, Ying-Ju; Zenou, Yves; Zhou, Junjie - In: Journal of economic theory 204 (2022), pp. 1-49

Persistent link: https://www.econbiz.de/10013473630

Identification of nonparametric monotonic regression models with continuous nonclassical measurement errors

Hu, Yingyao; Schennach, Susanne M.; Shiu, Ji-Liang - In: Journal of econometrics 226 (2022) 2, pp. 269-294

Persistent link: https://www.econbiz.de/10013461525

Hedge effectiveness of the credit default swap indices : a spectral decomposition and network topology analysis

Sinka, Peter; Zeitsch, Peter J. - In: Computational economics 60 (2022) 4, pp. 1375-1412

Persistent link: https://www.econbiz.de/10013447437

On a new parametrization class of solvable diffusion models and transition probability kernels

Tudor, Sebastian F.; Chatterjee, Rupak; Tydniouk, Igor - In: Quantitative finance 21 (2021) 10, pp. 1773-1790

Persistent link: https://www.econbiz.de/10012653711

Dimensionality reduction in forecasting with temporal hierarchies

Nystrup, Peter; Lindström, Erik; Møller, Jan K.; … - In: International journal of forecasting 37 (2021) 3, pp. 1127-1146

Persistent link: https://www.econbiz.de/10012794823

Dynamic principal component CAW models for high-dimensional realized covariance matrices

Gribisch, Bastian; Stollenwerk, Michael - In: Quantitative finance 20 (2020) 5, pp. 799-821

Persistent link: https://www.econbiz.de/10012262622

Dynamic Principal Components: a New Class of Multivariate GARCH Models

Aielli, Gian Piero; Caporin, Massimiliano - Dipartimento di Scienze Economiche "Marco Fanno", … - 2015

on linear combinations of univariate GARCH specifications. Most MGARCH models in this class adopt a spectral … decomposition of the covariance matrix, allowing for heteroskedasticity on at least some of the principal components, while the …

Persistent link: https://www.econbiz.de/10011188475

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