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Volatility
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ARCH model
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Estimation theory
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Schätztheorie
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Analysis of variance
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Linear algebra
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correlation
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Otranto, Edoardo
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Storti, Giuseppe
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Xu, Yongdeng
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CORE discussion papers : DP
Economic modelling
32
Finance research letters
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International review of financial analysis
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Research in international business and finance
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Journal of empirical finance
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International review of economics & finance : IREF
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The North American journal of economics and finance : a journal of financial economics studies
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The European journal of finance
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Applied economics letters
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Journal of risk and financial management : JRFM
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
2
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
3
Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc
;
Braione, Manuela
;
Storti, Giuseppe
-
2014
Persistent link: https://www.econbiz.de/10010484208
Saved in:
4
Modeling the dependence of conditional correlations on volatility
Bauwens, Luc
;
Otranto, Edoardo
-
2013
Persistent link: https://www.econbiz.de/10010203488
Saved in:
5
Computationally efficient inference procedures for vast dimensional realized covariance models
Bauwens, Luc
;
Storti, Giuseppe
-
2012
Persistent link: https://www.econbiz.de/10009573788
Saved in:
6
Infinite-state Markov-switching for dynamic volatility and correlation models
Dufays, Arnaud
-
2012
Persistent link: https://www.econbiz.de/10009731096
Saved in:
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