Narrow search
Showing 1 - 10 of 10
Cover Image
Does the US stock market information matter for European equity market volatility : a multivariate perspective?
Tang, Yusui; Ma, Feng; Wahab, M. I. M.; Wei, Yu - In: Applied economics 54 (2022) 58, pp. 6726-6743
Persistent link: https://www.econbiz.de/10013494246
Cover Image
Forecasting the oil price realized volatility : a multivariate heterogeneous autoregressive model
Tang, Yusui; Ma, Feng; Zhang, Yaojie; Wei, Yu - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4770-4783
Persistent link: https://www.econbiz.de/10013461377
Cover Image
Do jumps matter? : forecasting multivariate realized volatility allowing for common jumps
Liao, Yin; Anderson, Heather M.; Vahid, Farshid - 2010
Persistent link: https://www.econbiz.de/10008657960
Cover Image
Do jumps matter? : forecasting multivariate realized volatility allowing for common jumps
Liao, Yin; Anderson, Heather M.; Vahid, Farshid - 2010
Persistent link: https://www.econbiz.de/10008661656
Cover Image
On the efficacy of techniques for evaluating multivariate volatility forecasts
Clements, Adam; Doolan, Mark; Hurn, Stan; Becker, Ralf - 2009
Persistent link: https://www.econbiz.de/10003880627
Cover Image
Modelling extreme risks in commodities and commodity currencies
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - 2016
Persistent link: https://www.econbiz.de/10011777185
Cover Image
Selecting volatility forecasting models for portfolio allocation purposes
Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861
Persistent link: https://www.econbiz.de/10011474597
Cover Image
Combining multivariate volatility forecasts using weighted losses
Clements, Adam; Doolan, M. B. - 2018
Persistent link: https://www.econbiz.de/10012431199
Cover Image
Volatility-dependent correlations : further evidence of when, where and how
Clements, Adam; Scott, Ayesha; Silvennoinen, Annastiina - In: Empirical economics : a journal of the Institute for … 57 (2019) 2, pp. 505-540
Persistent link: https://www.econbiz.de/10012056697
Cover Image
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408
Persistent link: https://www.econbiz.de/10014450278