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A generalized dynamic conditional correlation model : simulation and application to many assets
Hafner, Christian M.; Franses, Philip Hans - In: Econometric reviews 28 (2009) 6, pp. 612-631
Persistent link: https://www.econbiz.de/10003881196
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Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
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Bayesian clustering of many GARCH models
Bauwens, Luc; Rombouts, Jeroen V. K. - In: Econometric reviews 26 (2007) 2, pp. 365-386
Persistent link: https://www.econbiz.de/10003509134
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Bayesian inference in dynamic disequilibrium models : an application to the Polish credit market
Bauwens, Luc; Lubrano, Michel - In: Econometric reviews 26 (2007) 2, pp. 469-486
Persistent link: https://www.econbiz.de/10003509150
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Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
Bauwens, Luc; Lubrano, Michel - In: Econometric reviews 26 (2007) 2, pp. 469
Persistent link: https://www.econbiz.de/10007730231