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CREATES research paper
SFB 649 discussion paper
30
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
26
Discussion paper / Tinbergen Institute
23
Econometric Institute research papers
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Discussion papers of interdisciplinary research project 373
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ECARES working paper
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
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CEMMAP working papers / Centre for Microdata Methods and Practice
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Discussion paper / Center for Economic Research, Tilburg University
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Discussion paper
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
Cowles Foundation discussion paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
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Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
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ECONIS (ZBW)
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A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard
;
Horel, Guillaume
;
Lunde, Asger
; …
-
2015
Persistent link: https://www.econbiz.de/10010514600
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2
Multivariate option pricing with time varying volatility and correlations
Rombouts, Jeroen V. K.
;
Stentoft, Lars
-
2010
Persistent link: https://www.econbiz.de/10003963064
Saved in:
3
The value of multivariate model sophistication : an application to pricing Dow Jones industrial average options
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009485768
Saved in:
4
Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10009751844
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5
Generalized forecast error variance decomposition for linear and nonlinear multivariate models
Lanne, Markku
;
Nyberg, Henri
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2014
Persistent link: https://www.econbiz.de/10010358974
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6
Simulation of multivariate diffusion bridges
Bladt, Mogens
;
Finch, Samuel
;
Sørensen, Michael
-
2014
Persistent link: https://www.econbiz.de/10010350969
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7
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Christensen, Kim
;
Podolskij, Mark
;
Vetter, Mathias
-
2011
Persistent link: https://www.econbiz.de/10009413031
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8
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
9
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
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