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~accessRights:"free"
~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Correlation"
~type_genre:"Graue Literatur"
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Search: subject:"ARCH model"
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
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2
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
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3
Multiplicative conditional correlation models for realized covariance matrices
Bauwensa, Luc
;
Braione, Manuela
;
Storti, Giuseppe
-
2016
Persistent link: https://www.econbiz.de/10011894432
Saved in:
4
Estimation and empirical performance of non-scalar dynamic conditional correlation models
Bauwens, Luc
;
Grigoryeva, Lyudmila
;
Ortega, Juan-Pablo
-
2014
Persistent link: https://www.econbiz.de/10010385192
Saved in:
5
Modeling the dependence of conditional correlations on volatility
Bauwens, Luc
;
Otranto, Edoardo
-
2013
Persistent link: https://www.econbiz.de/10010203488
Saved in:
6
Computationally efficient inference procedures for vast dimensional realized covariance models
Bauwens, Luc
;
Storti, Giuseppe
-
2012
Persistent link: https://www.econbiz.de/10009573788
Saved in:
7
Infinite-state Markov-switching for dynamic volatility and correlation models
Dufays, Arnaud
-
2012
Persistent link: https://www.econbiz.de/10009731096
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