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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~accessRights:"restricted"
~isPartOf:"CAMA working paper series"
~isPartOf:"CESifo working papers"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of empirical finance"
~person:"Astill, Sam"
~person:"Bernardi, Mauro"
~person:"Castelnuovo, Efrem"
~person:"Ghose, Devajyoti"
~person:"Spanos, Aris"
~subject:"ARCH model"
~subject:"Bayes-Statistik"
~subject:"Bayesian inference"
~subject:"Estimation"
~subject:"Risiko"
~subject:"Time varying parameters"
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Zeitreihenanalyse
ARCH model
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Multiple conditional Value-at-Risk
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Newbold, Paul
Astill, Sam
Bernardi, Mauro
Castelnuovo, Efrem
Ghose, Devajyoti
Spanos, Aris
Harvey, David I.
5
Leybourne, Stephen James
5
Taylor, Robert
5
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3
Audrino, Francesco
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Tu, Yundong
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Journal of empirical finance
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1
Using covariates to improve the efficacy of univariate bubble detection methods
Astill, Sam
;
Taylor, Robert
;
Kellard, Neil
;
Korkos, Ioannis
- In:
Journal of empirical finance
70
(
2023
),
pp. 342-366
Persistent link: https://www.econbiz.de/10014423733
Saved in:
2
Portfolio optimisation under flexible dynamic dependence modelling
Bernardi, Mauro
;
Catania, Leopoldo
- In:
Journal of empirical finance
48
(
2018
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012109219
Saved in:
3
Tests for an end-of-sample bubble in financial time series
Astill, Sam
;
Harvey, David I.
;
Leybourne, Stephen James
; …
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 651-666
Persistent link: https://www.econbiz.de/10011795312
Saved in:
4
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
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