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  • Search: subject:"dynamic conditional covariance"
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Year of publication
Subject
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asymptotic properties 7 dynamic conditional covariance 7 invertibility 7 stationarity 7 vector random coefficient moving average 6 Dynamic conditional correlation 5 Correlation 3 Korrelation 3 ARCH model 2 ARCH-Modell 2 Analysis of variance 2 Varianzanalyse 2 dynamic conditional correlation 2 Covariance matrix cleaning 1 Dynamic conditional Covariance 1 Estimation theory 1 Portfolio selection 1 Portfolio-Management 1 Schätztheorie 1 Stationarity 1 Stationarität 1 Stochastic process 1 Stochastischer Prozess 1 Time series analysis 1 Vector random. coefficient moving average 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 global minimum variance portfolios 1 portfolio optimization 1 realized risk 1
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Online availability
All
Free 6 Undetermined 1
Type of publication
All
Book / Working Paper 7 Article 1
Type of publication (narrower categories)
All
Working Paper 4 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 5 Undetermined 3
Author
All
McAleer, Michael 6 Hafner, Christian M. 4 Bongiorno, Christian 1 Challet, Damien 1 Hafner, Christian Matthias 1 mcAleer, Michael 1
Institution
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Department of Economics and Finance, College of Business and Economics 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Tinbergen Instituut 1
Published in...
All
Discussion paper / Tinbergen Institute 2 Tinbergen Institute Discussion Paper 2 Documentos de Trabajo del ICAE 1 The European journal of finance 1 Tinbergen Institute Discussion Papers 1 Working Papers in Economics 1
Source
All
ECONIS (ZBW) 3 RePEc 3 EconStor 2
Showing 1 - 8 of 8
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Reactive global minimum variance portfolios with k-BAHC covariance cleaning
Bongiorno, Christian; Challet, Damien - In: The European journal of finance 28 (2022) 13/15, pp. 1344-1360
Persistent link: https://www.econbiz.de/10013532213
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Stationarity and Invertibility of a Dynamic Correlation Matrix
mcAleer, Michael - 2017
conditional covariance model of the returns shocks rather than a dynamic conditional correlation model; (ii) provides the … moving average process raises three important issues, as follows: (i) demonstrates that DCC is, in fact, a dynamic …
Persistent link: https://www.econbiz.de/10011819475
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Cover Image
Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael - 2017 - Revised: September 2017
conditional covariance model of the returns shocks rather than a dynamic conditional correlation model; (ii) provides the … moving average process raises three important issues, as follows: (i) demonstrates that DCC is, in fact, a dynamic …
Persistent link: https://www.econbiz.de/10011715983
Saved in:
Cover Image
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.; McAleer, Michael - 2014
three important issues: (i) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks …
Persistent link: https://www.econbiz.de/10010491317
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A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian Matthias; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2014
) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks rather than a dynamic conditional …
Persistent link: https://www.econbiz.de/10011162549
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Cover Image
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.; McAleer, Michael - Tinbergen Instituut - 2014
three important issues: (i) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks …
Persistent link: https://www.econbiz.de/10011257506
Saved in:
Cover Image
A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.; McAleer, Michael - 2014 - Revised: July 2014
three important issues: (i) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks …
Persistent link: https://www.econbiz.de/10010374571
Saved in:
Cover Image
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.; McAleer, Michael - Department of Economics and Finance, College of … - 2014
three important issues: (i) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks …
Persistent link: https://www.econbiz.de/10010796148
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