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type_genre:"Non-commercial literature"
type_genre:"Working Paper"
~isPartOf:"CREATES research paper"
~subject:"Share price"
~subject:"Time series analysis"
~type_genre:"Amtsdruckschrift"
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Nielsen, Morten Ørregaard
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Silvennoinen, Annastiina
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ECONIS (ZBW)
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Betting on mean reversion in the VIX? : evidence from ETP flows
Nielsen, Ole Linnemann
;
Posselt, Anders Merrild
-
2022
-
This version: September 1, 2021
Persistent link: https://www.econbiz.de/10012816394
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
4
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
5
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
6
Fractional integration and cointegration
Haulde, Javier
;
Nielsen, Morten Ørregaard
-
2021
Persistent link: https://www.econbiz.de/10012816374
Saved in:
7
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
8
Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316892
Saved in:
9
Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium
Casas, Isabel
;
Mao, Xiuping
;
Veiga, Helena
-
2018
Persistent link: https://www.econbiz.de/10011864851
Saved in:
10
Time-varying parameters : new test tailored to applications in finance and macroeconomics
Davidson, Russell
;
Grønborg, Niels S.
-
2018
Persistent link: https://www.econbiz.de/10011913753
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