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person:"Elpelt, Bärbel"
~person:"Caporin, Massimiliano"
~person:"Croux, Christophe"
~person:"Herwartz, Helmut"
~person:"Memmel, Christoph"
~subject:"Correlation"
~subject:"Kausalanalyse"
~subject:"Portfolio-Management"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Multivariates Verfahren"
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Elpelt, Bärbel
Caporin, Massimiliano
Croux, Christophe
Herwartz, Helmut
Memmel, Christoph
De Nard, Gianluca
3
Engle, Robert F.
3
Hafner, Christian M.
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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
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
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:
4
Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks : a multivariate nonparametric approach
Gaißer, Sandra Caterina
;
Memmel, Christoph
;
Schmidt, Rafael
- In:
Journal of risk
14
(
2011/12
)
1
,
pp. 3-40
Persistent link: https://www.econbiz.de/10011301316
Saved in:
5
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:
6
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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