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  • Search: subject:"realized covariance matrices"
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Year of publication
Subject
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Correlation 7 Korrelation 7 realized covariance matrices 7 heavy tails 6 Capital income 5 Kapitaleinkommen 5 Statistical distribution 5 Statistische Verteilung 5 Analysis of variance 4 Estimation theory 4 Schätztheorie 4 Time series analysis 4 Varianzanalyse 4 Volatility 4 Volatilität 4 Zeitreihenanalyse 4 (degenerate) matrix-F distribution 3 ARCH model 3 ARCH-Modell 3 Estimation 3 Forecasting model 3 Prognoseverfahren 3 Schätzung 3 fractional integration 3 generalized autoregressive score (GAS) dynamics 3 matrix-F distribution 3 multivariate volatility 3 score dynamics 3 Fat-Tails 2 Linear algebra 2 Lineare Algebra 2 Matrix Distributions 2 Multivariate Analyse 2 Multivariate analysis 2 Realized Covariance Matrices 2 Realized covariance matrices 2 Tail Heterogeneity 2 Theorie 2 Theory 2 (inverse) Riesz Distribution 1
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Online availability
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Free 7 Undetermined 3
Type of publication
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Book / Working Paper 7 Article 4
Type of publication (narrower categories)
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Working Paper 6 Article in journal 4 Aufsatz in Zeitschrift 4 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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English 10 Undetermined 1
Author
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Opschoor, Anne 8 Lucas, André 7 Blasques, Francisco 2 Janus, Pawel 2 Rossini, Luca 2 Amendola, Alessandra 1 Janus, Paweł 1 Jin, Xin 1 Li, Wai Keung 1 Lucas, Andre 1 Maheu, John M. 1 Shen, Keren 1 Storti, Giuseppe 1 Yang, Qiao 1 Yao, Jianfeng 1
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Institution
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Tinbergen Instituut 1
Published in...
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Discussion paper / Tinbergen Institute 3 Tinbergen Institute Discussion Paper 3 Journal of econometrics 1 Journal of financial econometrics 1 Journal of forecasting 1 Quantitative finance 1 Tinbergen Institute Discussion Papers 1
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Source
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ECONIS (ZBW) 7 EconStor 3 RePEc 1
Showing 11 - 11 of 11
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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
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