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Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198

Persistent link: https://www.econbiz.de/10013260190

Inference for structural impulse responses in SVAR-GARCH models

Bruder, Stefan - 2018

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a...

Persistent link: https://www.econbiz.de/10011817166

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

Persistent link: https://www.econbiz.de/10013040932

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

Persistent link: https://www.econbiz.de/10012584099

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020

covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

Persistent link: https://www.econbiz.de/10012253083

A joint model for the term structure of interest rates and realized volatility

Hansen, Anne Lundgaard - In: Journal of financial econometrics 21 (2023) 4, pp. 1196-1227

Persistent link: https://www.econbiz.de/10014391449

Testing for nonlinearity in conditional covariances

Sanhaji, Bilel - In: Journal of time series econometrics 9 (2017) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10011701865

Sparse multivariate GARCH

Wu, Jianbin; Dhaene, Geert - 2016

Persistent link: https://www.econbiz.de/10011707052

A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

Catani, Paul; Teräsvirta, Timo; Yin, Meiqun - In: Econometric reviews 36 (2017) 6/9, pp. 599-621

Persistent link: https://www.econbiz.de/10011795292

Multivariate moments expansion density : application of the dynamic equicorrelation model

Ñíguez, Trino-Manuel; Perote, Javier - 2016

Persistent link: https://www.econbiz.de/10011799240