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person:"Corsi, Fulvio"
subject:"Volatilität"
~accessRights:"restricted"
~person:"Ghysels, Eric"
~person:"Gouriéroux, Christian"
~type_genre:"Article in journal"
~type_genre:"Working Paper"
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Corsi, Fulvio
Ghysels, Eric
Gouriéroux, Christian
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A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
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2
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
3
Factor analysis with large panels volatility proxies
Ghysels, Eric
-
2014
Persistent link: https://www.econbiz.de/10010382083
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