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Identification of structural multivariate GARCH models
Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - 2018
Persistent link: https://www.econbiz.de/10011993276
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The issue of control in multivariate systems : a contribution of structural modelling
Mouchart, Michel; Wunsch, Guillaume J.; Russo, Federica - 2015
Persistent link: https://www.econbiz.de/10011289925
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - 2019
Persistent link: https://www.econbiz.de/10012215175
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Confounding and control in a multivariate system : an issue in causal attribution
Russo, Federica; Mouchart, Michel; Wunsch, Guillaume J. - 2013
Persistent link: https://www.econbiz.de/10010238485
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Copula-based orderings of multivariate dependence
Decancq, Koen - 2010
Persistent link: https://www.econbiz.de/10008648099
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The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2012
Persistent link: https://www.econbiz.de/10009504643
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Asymptotic theory for a factor GARCH model
Hafner, Christian M. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003375885
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Semiparametric multivariate density estimation for positive data using coplas
Bouezmarni, Taoufik (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003526639
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Nonparametric density estimation for multivariate bounded data
Bouezmarni, Taoufik (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003527551
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Multivariate mixed normal conditional heteroskedasticity
Bauwens, Luc (contributor); Hafner, Christian M. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003326703