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person:"Elpelt, Bärbel"
~person:"Aielli, Gian Piero"
~person:"Caporin, Massimiliano"
~person:"Di Bernardino, Elena"
~person:"Herwartz, Helmut"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Multivariates Verfahren"
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Elpelt, Bärbel
Aielli, Gian Piero
Caporin, Massimiliano
Di Bernardino, Elena
Herwartz, Helmut
McAleer, Michael
9
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8
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ECONIS (ZBW)
11
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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
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
3
On multivariate extensions of the conditional value-at-risk measure
Di Bernardino, Elena
;
Fernández-Ponce, J. M.
; …
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 1-16
Persistent link: https://www.econbiz.de/10010515946
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
On multivariate extensions of Conditional-Tail-Expectation
Cousin, Areski
;
Di Bernardino, Elena
- In:
Insurance / Mathematics & economics
55
(
2014
),
pp. 272-282
Persistent link: https://www.econbiz.de/10010366166
Saved in:
6
Distortions of multivariate distribution functions and associated level curves : applications in multivariate risk theory
Di Bernardino, Elena
;
Rullière, Didier
- In:
Insurance / Mathematics & economics
53
(
2013
)
1
,
pp. 190-205
Persistent link: https://www.econbiz.de/10009785406
Saved in:
7
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:
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
Saved in:
9
Variance (non) causality in multivariate GARCH
Caporin, Massimiliano
- In:
Econometric reviews
26
(
2007
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10003509003
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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