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Time series analysis
Korrelation
6,573
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2,494
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1,452
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1,443
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11
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7
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7
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4
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
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ECONIS (ZBW)
721
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1
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721
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1
Singular conditional autoregressive Wishart model for realized
covariance
matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Composite forecasting of vast-dimensional realized
covariance
matrices using factor state-space models
Hartkopf, Jan Patrick
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
1
,
pp. 393-436
Persistent link: https://www.econbiz.de/10014226292
Saved in:
3
Detection of multiple structural breaks in large
covariance
matrices
Li, Yu-Ning
;
Li, Degui
;
Fryzlewicz, Piotr
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 846-861
Persistent link: https://www.econbiz.de/10014448448
Saved in:
4
Locally adaptive online functional data
Patilea, Valentin
;
Racine, Jeffrey
-
2024
Persistent link: https://www.econbiz.de/10014546088
Saved in:
5
Sluggish news reactions: a combinatorial approach for synchronizing stock jumps
Bouamara, Nabil
;
Boudt, Kris
;
Laurent, Sébastien
; …
-
2024
Persistent link: https://www.econbiz.de/10014521306
Saved in:
6
Singular conditional autoregressive Wishart model for realized
covariance
matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
-
2021
Persistent link: https://www.econbiz.de/10012603081
Saved in:
7
Dynamic
covariance
matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
8
Causal vector autoregression enhanced with
covariance
and order selection
Bolla, Marianna
;
Ye, Dongze
;
Wang, Haoyu
;
Ma, Renyuan
; …
- In:
Econometrics : open access journal
11
(
2023
)
1
,
pp. 1-30
matrix, then
covariance
selection is applied that assigns zeros to the corresponding path coefficients. Real …
Persistent link: https://www.econbiz.de/10014281492
Saved in:
9
Eigen-analysis for high-dimensional time series clustering
Zhang, Bo
;
Gao, Jiti
;
Pan, Guangming
;
Yang, Yanrong
-
2023
Persistent link: https://www.econbiz.de/10014452611
Saved in:
10
Challenging Golden Standards in Ewma Smoothing Parameter Calibration Based on Realized
Covariance
Measures
Hartkopf, Jan
;
Reh, Laura
-
2023
(EWMA) for realized
covariance
matrices. Although it is the crucial determinant in steering the dynamics of the EWMA, little …
Persistent link: https://www.econbiz.de/10014260760
Saved in:
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