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~isPartOf:"Acta oeconomica : periodical of the Hungarian Academy of Sciences"
~isPartOf:"Applied economics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Statistical Papers / Springer"
~isPartOf:"Working paper"
~person:"Lucas, André"
~subject:"ARCH-Modell"
~subject:"Multivariate analysis"
~subject:"World"
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Acta oeconomica : periodical of the Hungarian Academy of Sciences
Applied economics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Statistical Papers / Springer
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Discussion paper / Tinbergen Institute
5
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1
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Closed-form multi-factor copula models with observation-driven dynamic factor loadings
Opschoor, Anne
;
Lucas, André
;
Barra, István
;
Dijk, …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1066-1079
Persistent link: https://www.econbiz.de/10012653226
Saved in:
2
New HEAVY models for fat-tailed realized covariances and returns
Opschoor, Anne
;
Janus, Paweł
;
Lucas, André
;
Dijk, Dick van
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
4
,
pp. 643-657
Persistent link: https://www.econbiz.de/10012249228
Saved in:
3
A dynamic
multivariate
heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 552-563
Persistent link: https://www.econbiz.de/10009355592
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