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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2020
Persistent link: https://www.econbiz.de/10013335000
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2021
Persistent link: https://www.econbiz.de/10013339035
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Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher - In: The econometrics journal 26 (2023) 1, pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
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Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …
Persistent link: https://www.econbiz.de/10011563065
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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Extended residual coherence with a financial application
Zhang, Xuze; Kedem, Benjamin - In: Statistics in transition : an international journal of … 22 (2021) 2, pp. 1-14
financial market application shows that new insights can be gained regarding implied market volatility. …
Persistent link: https://www.econbiz.de/10012582392
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Stock market portfolio construction : a four-stage model based on Fractal analysis
Ghosh, Indranil; Chaudhuri, Tamal D. - In: South Asian journal of management : SAJM 25 (2018) 4, pp. 117-149
Persistent link: https://www.econbiz.de/10012011628
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Forecasting volatility for an optimal portfolio with stylized facts using copulas
Karmous, Aida; Boubaker, Heni; Belkacem, Lotfi - In: Computational economics 58 (2021) 2, pp. 461-482
Persistent link: https://www.econbiz.de/10012615046
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Volterra mortality model : actuarial valuation and risk management with long-range dependence
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 96 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012482737