Showing 1 - 10 of 2,124
documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime … modèles GARCH bivarié en langage Gauss ou avec changement de régime. Nous signalons les limites de ces outils pour …
Persistent link: https://www.econbiz.de/10005052205
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH …
Persistent link: https://www.econbiz.de/10011663190
Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock...
Persistent link: https://www.econbiz.de/10011663197
Persistent link: https://www.econbiz.de/10011673887
Persistent link: https://www.econbiz.de/10011743063
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH …
Persistent link: https://www.econbiz.de/10011640555
Persistent link: https://www.econbiz.de/10011656925
Persistent link: https://www.econbiz.de/10012152240
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH …
Persistent link: https://www.econbiz.de/10011518597
Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock...
Persistent link: https://www.econbiz.de/10011571257