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A range-based multivariate stochastic volatility model for exchange rates
Tims, Ben; Mahieu, Ronald J. - In: Econometric reviews 25 (2006) 2/3, pp. 409-424
Persistent link: https://www.econbiz.de/10003355802
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Asset allocation with a high dimensional latent factor stochastic volatility model
Han, Yufeng - In: The review of financial studies 19 (2006) 1, pp. 237-271
Persistent link: https://www.econbiz.de/10003325179
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Conditional Gauss-Hermite filtering with application to volatility estimation
Singer, Hermann - 2008
Persistent link: https://www.econbiz.de/10003795449
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Panel intensity models with latent factors : an application to the trading dynamics on the foreign exchange market
Nolte, Ingmar (contributor); Voev, Valeri (contributor) - 2007
behavioral biases and discuss implications for portfolio theory. -- Trading Activity Datasets ; Panel Intensity Models ; Latent …
Persistent link: https://www.econbiz.de/10003449935
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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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Effizienzanalyse von Dienstleistungsproduktionen : eine Data Envelopment Analysis unter Berücksichtigung stochastischer externer Faktoren
Schlindwein, Regina - 2016 - 1. Auflage 2016
Persistent link: https://www.econbiz.de/10011491455
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Multivariate stochastic volatility-double jump model : an application for oil assets
Laurini, Márcio Poletti; Mauad, Roberto Baltieri; … - 2016
Persistent link: https://www.econbiz.de/10011444747
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Optimal EWMA of linear combination of Poisson variables for multivariate statistical process control
Garcia-Bustos, Sandra; Aparisi, Francisco; Epprecht, … - In: International journal of production research 53 (2015) 14, pp. 4141-4159
Persistent link: https://www.econbiz.de/10011302788
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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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Multistage portfolio optimization with multivariate dominance constraints
Petrová, Barbora - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 17-46
Persistent link: https://www.econbiz.de/10011993411