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  • Search: subject:"Unconditional correlation"
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Year of publication
Subject
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Correlation 3 Korrelation 3 Volatility 3 Volatilität 3 ARCH model 2 ARCH-Modell 2 Australia 2 Australien 2 Estimation 2 Estimation theory 2 Multivariate Analyse 2 Multivariate analysis 2 Schätztheorie 2 Schätzung 2 Time series analysis 2 Zeitreihenanalyse 2 modelling correlations 2 modelling volatility 2 multivariate autoregressive conditional heteroskedasticity 2 unconditional correlation 2 Bank 1 Capital income 1 Deutschland 1 Diversification 1 Diversifikation 1 Germany 1 Kapitaleinkommen 1 Markowitz portfolio optimization 1 Portfolio selection 1 Portfolio-Management 1 Risikomaß 1 Risk measure 1 Sharpe ratio 1 Theorie 1 Theory 1 Unconditional correlation 1 diversification 1 dynamic conditional correlation 1 volatility 1
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Online availability
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Free 2 CC license 1 Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 3
Author
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Silvennoinen, Annastiina 2 Teräsvirta, Timo 2 Hall, Anthony 1 Hall, Anthony D. 1 Kabir, Sarkar Humayun 1 Masih, Abdul Mansur M. 1 Obiyathulla Ismath Bacha 1
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Published in...
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CREATES research paper 1 Econometrics : open access journal 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1
Source
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ECONIS (ZBW) 3
Showing 1 - 3 of 3
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Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks
Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37
This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...
Persistent link: https://www.econbiz.de/10014281494
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Cover Image
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021
Persistent link: https://www.econbiz.de/10012815962
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Cover Image
Risk-return profiles of Islamic equities and commodity portfolios in different market conditions
Kabir, Sarkar Humayun; Masih, Abdul Mansur M.; … - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1477-1500
Persistent link: https://www.econbiz.de/10011823800
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