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person:"Elpelt, Bärbel"
~person:"Aielli, Gian Piero"
~person:"Brechmann, E. C."
~person:"Cacciolatti, Luca A."
~person:"Caporin, Massimiliano"
~person:"Herwartz, Helmut"
~person:"Koopman, Siem Jan"
~source:"econis"
~subject:"Korrelation"
~subject:"Stochastic process"
~type_genre:"Aufsatz in Zeitschrift"
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Elpelt, Bärbel
Aielli, Gian Piero
Brechmann, E. C.
Cacciolatti, Luca A.
Caporin, Massimiliano
Herwartz, Helmut
Koopman, Siem Jan
Asai, Manabu
4
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Guillaume, Florence
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Lv, Jinchi
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Maasoumi, Esfandiar
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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
Saved in:
2
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
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
Saved in:
4
Proximity-structured multivariate volatility models
Caporin, Massimiliano
;
Paruolo, Paolo
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
Saved in:
5
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
6
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:
7
Marketing intelligence in SMEs : implications for the industry and policy makers
Cacciolatti, Luca A.
;
Fearne, Andrew P.
- In:
Marketing intelligence & planning
31
(
2013
)
1
,
pp. 4-26
Persistent link: https://www.econbiz.de/10009722465
Saved in:
8
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
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9
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 552-563
Persistent link: https://www.econbiz.de/10009355592
Saved in:
10
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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