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Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk - In: Journal of mathematical finance 6 (2016) 1, pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
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COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312
Persistent link: https://www.econbiz.de/10011504536
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Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
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Proximity-structured multivariate volatility models
Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
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Multivariate marked poisson processes and market related multidimensional information flows
Jevtić, Petar; Marena, Marina; Semeraro, Patrizia - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10012013851
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Multivariate modelling of household claim frequencies in motor third-party liability insurance
Pechon, Florian; Trufin, Julien; Denuit, Michel - In: Astin bulletin : the journal of the International … 48 (2018) 3, pp. 969-993
Persistent link: https://www.econbiz.de/10011999834
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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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Stochastic ordering of Gini indexes for multivariate elliptical risks
Kim, Bara; Kim, Jeongsim - In: Insurance / Mathematics & economics 88 (2019), pp. 151-158
Persistent link: https://www.econbiz.de/10012105530
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An efficient alternative to the exact evaluation of the quickest path flow network reliability problem
El Khadiri, Mohamed; Yeh, W.-C. - In: Computers & operations research : and their … 76 (2016), pp. 22-32
Persistent link: https://www.econbiz.de/10011582078