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Search: subject:"multivariate GARCH"
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Multivariate GARCH
343
ARCH-Modell
317
ARCH model
300
multivariate GARCH
274
Volatility
242
Volatilität
229
Schätzung
126
Estimation
124
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94
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73
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72
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71
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71
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70
Korrelation
67
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64
Portfolio-Management
52
Portfolio selection
51
multivariate GARCH models
48
Ölpreis
47
Estimation theory
46
Schätztheorie
46
Oil price
45
Multivariate GARCH models
38
CAPM
37
Welt
37
volatility spillovers
36
Rohstoffderivat
35
World
35
Commodity derivative
33
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31
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McAleer, Michael
29
Chang, Chia-Lin
24
Tansuchat, Roengchai
19
Guesmi, Khaled
18
Teräsvirta, Timo
18
Ledoit, Olivier
16
Manera, Matteo
16
Wolf, Michael
14
Hafner, Christian M.
13
Silvennoinen, Annastiina
13
De Nard, Gianluca
11
Teulon, Frédéric
11
Haas, Markus
10
Herwartz, Helmut
10
Serletis, Apostolos
10
Antonakakis, Nikolaos
9
Caporin, Massimiliano
9
Cifarelli, Giulio
9
Mittnik, Stefan
9
Nguyen, Duc Khuong
9
Nicolini, Marcella
9
Engle, Robert F.
8
Papadamou, Stephanos
8
Violante, Francesco
8
Conrad, Christian
7
Funke, Michael
7
Khamkaew, Thanchanok
7
Lanza, Alessandro
7
Laurent, Sébastien
7
Paolella, Marc S.
7
Saleem, Kashif
7
Ahamada, Ibrahim
6
Aielli, Gian Piero
6
Asai, Manabu
6
Grydaki, Maria
6
Hernandez, Manuel A.
6
Kirat, Djamel
6
McAleer, M.J.
6
Siriopoulos, Costas
6
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6
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
27
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
12
Erasmus University Rotterdam, Econometric Institute
11
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
11
HAL
10
Econometric Society
8
Center for Financial Studies
6
Institut de Préparation à l'Administration et à la Gestion (IPAG)
6
School of Economics and Management, University of Aarhus
6
Department of Economics and Finance, College of Business and Economics
5
EconWPA
5
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
5
Institute of Economic Research, Kyoto University
5
Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova
4
Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze
4
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
4
European Central Bank
4
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
4
Society for Computational Economics - SCE
4
C.E.P.R. Discussion Papers
3
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
3
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
3
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
3
Fondazione ENI Enrico Mattei (FEEM)
3
Institut für Makroökonomie und Wirtschaftspolitik, Fachbereich Volkswirtschaftslehre
3
National Centre for Econometric Research (NCER)
3
Nationalekonomiska Institutionen, Ekonomihögskolan
3
School of Economics and Finance, Business School
3
School of Economics and Political Science, Universität St. Gallen
3
Swiss Finance Institute
3
Tinbergen Institute
3
Tinbergen Instituut
3
Université Paris-Dauphine (Paris IX)
3
Agricultural and Applied Economics Association - AAEA
2
BANCO DE LA REPÚBLICA
2
Banca d'Italia
2
Banco de México
2
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
2
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Centro Ricerche Nord Sud (CRENoS)
2
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MPRA Paper
27
Energy economics
16
CORE Discussion Papers
12
Applied economics
11
Econometric Institute Report
11
Econometric Institute Research Papers
11
Economic modelling
11
Working Paper
11
Economics Bulletin
10
Journal of banking & finance
10
Research in international business and finance
10
Energy Economics
9
Econometrics
8
SSE/EFI Working Paper Series in Economics and Finance
7
The North American journal of economics and finance : a journal of financial economics studies
7
Working Papers / HAL
7
Working paper series / University of Zurich, Department of Economics
7
CFS Working Paper Series
6
CREATES Research Papers
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Tinbergen Institute Discussion Papers
6
Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG)
6
BOFIT Discussion Papers
5
Discussion paper / Tinbergen Institute
5
Economic Modelling
5
Economics letters
5
International Journal of Energy Economics and Policy : IJEEP
5
Journal of econometrics
5
Journal of international financial markets, institutions & money
5
KIER Working Papers
5
Mathematics and Computers in Simulation (MATCOM)
5
Working Papers in Economics
5
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5
"Marco Fanno" Working Papers
4
Discussion Paper Series
4
Documentos de Trabajo del ICAE
4
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4
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4
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Source
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RePEc
461
ECONIS (ZBW)
328
EconStor
70
BASE
18
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41
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41
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Saved in:
42
Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies : a comparison between DCC, ADCC and GO-GARCH models
Fakhfekh, Mohamed
;
Jeribi, Ahmed
;
Ghorbel, Ahmed
; …
- In:
International journal of emerging markets
18
(
2023
)
4
,
pp. 978-1006
Persistent link: https://www.econbiz.de/10014333595
Saved in:
43
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
Saved in:
44
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
45
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
46
Racial and ethnic disparities in unemployment and oil price uncertainty
Elder, John
;
Payne, James E.
- In:
Energy economics
119
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014280133
Saved in:
47
The US-China trade war and the volatility linkages between energy and agricultural commodities
Cheng, Natalie Fang Ling
;
Hasanov, Akram Shavkatovich
; …
- In:
Energy economics
120
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014284707
Saved in:
48
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
49
An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices
Abakah, Emmanuel Joel Aikins
;
Tiwari, Aviral Kumar
; …
- In:
Technological forecasting & social change : an …
186PA
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014250438
Saved in:
50
Asymmetric volatility impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
222
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014232851
Saved in:
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