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subject:"Sampling"
subject:"Stichprobenerhebung"
~accessRights:"restricted"
~person:"Bauwens, Luc"
~person:"Li, Dong"
~subject:"ARCH model"
~subject:"Minimum variance portfolio"
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Bauwens, Luc
Li, Dong
Francq, Christian
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Sucarrat, Genaro
5
Zakoïan, Jean-Michel
5
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ECONIS (ZBW)
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
2
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 306-329
Persistent link: https://www.econbiz.de/10013275393
Saved in:
3
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
4
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
Saved in:
5
The ZD-GARCH model : a new way to study heteroscedasticity
Li, Dong
;
Zhang, Xingfa
;
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011974547
Saved in:
6
On a threshold double autoregressive model
Li, Dong
;
Ling, Shiqing
;
Zhang, Rongmao
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 68-80
Persistent link: https://www.econbiz.de/10011691211
Saved in:
7
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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