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Sequential detection of parameter changes in dynamic conditional correlation models
Pape, Katharina; Galeano, Pedro; Wied, Dominik - In: Applied Stochastic Models in Business and Industry (2020)
Persistent link: https://www.econbiz.de/10012406424
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Multiple break detection in the correlation structure of financial returns
Galeano, Pedro; Wied, Dominik - 2011
Persistent link: https://www.econbiz.de/10009379510
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Monitoring multivariate variance changes
Pape, Katharina; Wied, Dominik; Galeano, Pedro - 2015
Persistent link: https://www.econbiz.de/10011326689
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Monitoring multivariate variance changes
Pape, Katharina; Wied, Dominik; Galeano, Pedro - In: Journal of empirical finance 39 (2016), pp. 54-68
Persistent link: https://www.econbiz.de/10011663296
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Bayesian inference methods for univariate and multivariate Garch models : a survey
Virbickaite, Audrone; Ausin, M. Concepción; Galeano, Pedro - In: Journal of economic surveys 29 (2015) 1, pp. 76-96
Persistent link: https://www.econbiz.de/10011381831
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Las nuevas oportunidades del big data para las instituciones financieras
Galeano, Pedro; Peña, Daniel - In: Papeles de economía española 162 (2019), pp. 78-97
Persistent link: https://www.econbiz.de/10012197656
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A robust procedure to build dynamic factor models with cluster structure
Alonso, Andrés M.; Galeano, Pedro; Peña, Daniel - In: Journal of econometrics 216 (2020) 1, pp. 35-52
Persistent link: https://www.econbiz.de/10012439635
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Copula stochastic volatility in oil returns : approximate Bayesian computation with volatility prediction
Virbickaitė, Audronė; Ausín, M. Concepción; … - In: Energy economics 92 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012519661
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Particle learning for Bayesian semi-parametric stochastic volatility model
Virbickaitė, Audronė; Lopes, Hedibert Freitas; … - In: Econometric reviews 38 (2019) 9, pp. 1007-1023
Persistent link: https://www.econbiz.de/10012181379
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Parallel Bayesian inference for high-dimensional dynamic factor copulas
Nguyen, Hoang; Ausín, M. Concepción; Galeano, Pedro - In: Journal of financial econometrics 17 (2019) 1, pp. 118-151
Persistent link: https://www.econbiz.de/10012054431