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person:"Elpelt, Bärbel"
~language:"eng"
~person:"Aielli, Gian Piero"
~person:"Brechmann, E. C."
~person:"Caporin, Massimiliano"
~person:"Herwartz, Helmut"
~person:"Shephard, Neil G."
~source:"econis"
~subject:"Korrelation"
~type_genre:"Aufsatz in Zeitschrift"
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Elpelt, Bärbel
Aielli, Gian Piero
Brechmann, E. C.
Caporin, Massimiliano
Herwartz, Helmut
Shephard, Neil G.
Engle, Robert F.
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
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2
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
3
A multivariate volatility vine copula model
Brechmann, E. C.
;
Heiden, M.
;
Okhrin, Y.
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 281-308
Persistent link: https://www.econbiz.de/10012038690
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4
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
Saved in:
5
Dynamic conditional correlation : on properties and estimation
Aielli, Gian Piero
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
3
,
pp. 282-299
Persistent link: https://www.econbiz.de/10009786001
Saved in:
6
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
Bonato, M.
;
Caporin, Massimiliano
;
Ranaldo, Angelo
- In:
The European journal of finance
18
(
2012
)
9/10
,
pp. 761-774
Persistent link: https://www.econbiz.de/10009691781
Saved in:
7
Flexible dynamic conditional correlation multivariate GARCH models for asset allocation
Billio, Monica
;
Caporin, Massimiliano
;
Gobbo, Michele
- In:
Applied financial economics letters
2
(
2006
)
2
,
pp. 123-130
Persistent link: https://www.econbiz.de/10003302525
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