Narrow search
Showing 1 - 6 of 6
Cover Image
Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 54 (2019), pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
Cover Image
Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian; Hartkopf, Jan Patrick; Liesenfeld, Roman - In: Journal of empirical finance 55 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012175249
Cover Image
Exponential smoothing of realized portfolio weights
Golosnoy, Vasyl; Gribisch, Bastian; Seifert, Miriam - In: Journal of empirical finance 53 (2019), pp. 222-237
Persistent link: https://www.econbiz.de/10012171651
Cover Image
Valuation of collateralized debt obligations with hierarchical Archimedean copulae
Choroś-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - In: Journal of empirical finance 24 (2013), pp. 42-62
Persistent link: https://www.econbiz.de/10010371991
Cover Image
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
Cover Image
Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-625
Persistent link: https://www.econbiz.de/10009615658