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Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Barigozzi, Matteo; Brownlees, Christian; Gallo, Giampiero M. - In: Journal of econometrics 182 (2014) 2, pp. 364-384
Persistent link: https://www.econbiz.de/10010497747
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1/2, pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
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Detecting granular time series in large panels
Brownlees, Christian; Mesters, Geert - In: Journal of econometrics 220 (2021) 2, pp. 544-561
Persistent link: https://www.econbiz.de/10012618565
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Detecting groups in large Vector Autoregressions
Guðmundsson, Guðmundur Stefán; Brownlees, Christian - In: Journal of econometrics 225 (2021) 1, pp. 2-26
Persistent link: https://www.econbiz.de/10013279003
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10006747800