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Time inhomogeneous multiple volatility modelling

Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - 2001

Persistent link: https://www.econbiz.de/10001580374

Time inhomogenous multiple volatility modeling

Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 55-95

Persistent link: https://www.econbiz.de/10002220931

Pooled cross-sectional and time series data analysis

Dielman, Terry E. - 1989

Persistent link: https://www.econbiz.de/10013282229

A multivariate parameter trace analysis for online fault detection in a semiconductor etch tool

Ko, Jong Myoung; Kim, Chang Ouk - In: International journal of production research 50 (2012) 23, pp. 6639-6654

Persistent link: https://www.econbiz.de/10009673530

Mahalanobis distances on factor model based estimation

Dai, Deliang - In: Econometrics : open access journal 8 (2020) 1/10, pp. 1-11

A factor model based covariance matrix is used to build a new form of Mahalanobis distance. The distribution and relative properties of the new Mahalanobis distances are derived. A new type of Mahalanobis distance based on the separated part of the factor model is defined. Contamination effects...

Persistent link: https://www.econbiz.de/10012265396