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~isPartOf:"CFS working paper series"
~isPartOf:"Economics letters"
~isPartOf:"Energy economics"
~isPartOf:"Journal of forecasting"
~isPartOf:"Journal of risk"
~isPartOf:"Statistical Papers / Springer"
~subject:"Risk measure"
~subject:"Volatility"
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Search: subject:"Multivariate"
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Risk measure
Volatility
Multivariate distribution
101
Multivariate Verteilung
100
Theorie
91
Theory
91
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67
Multivariate analysis
66
Multivariate Analyse
62
Time series analysis
57
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57
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53
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53
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46
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46
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45
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34
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6
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3
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Barbaglia, Luca
1
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CFS working paper series
Economics letters
Energy economics
Journal of forecasting
Journal of risk
Statistical Papers / Springer
Insurance / Mathematics & economics
30
Journal of banking & finance
30
Economic modelling
29
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28
The North American journal of economics and finance : a journal of financial economics studies
28
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26
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25
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24
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23
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23
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20
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19
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19
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17
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16
International journal of forecasting
16
SFB 649 discussion paper
16
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15
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12
The European journal of finance
12
European journal of operational research : EJOR
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
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10
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9
Journal of financial econometrics
9
Journal of international money and finance
9
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9
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8
International journal of theoretical and applied finance
8
Applied economics letters
7
Journal of applied econometrics
7
The journal of futures markets
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
91
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1
A
multivariate
GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
2
Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Sahamkhadam, Maziar
;
Stephan, Andreas
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2139-2166
Persistent link: https://www.econbiz.de/10014432866
Saved in:
3
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
4
Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets
Okhrin, Yarema
;
Uddin, Mohammed Gazi Salah
;
Yahya, Muhammad
- In:
Energy economics
125
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014485235
Saved in:
5
Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang
;
Virbickaitė, Audronė
- In:
Energy economics
124
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014480067
Saved in:
6
Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated
multivariate
GARCH models
Marchese, Malvina
;
Kyriakou, Ioannis
;
Tamvakis, Michael
; …
- In:
Energy economics
88
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012516745
Saved in:
7
Volatility spillovers in commodity markets : a large t-vector autoregressive approach
Barbaglia, Luca
;
Croux, Christophe
;
Wilms, Ines
- In:
Energy economics
85
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012509561
Saved in:
8
Time-varying dependence dynamics between international commodity prices and Australian industry stock returns : a perspective for portfolio diversification
Tiwari, Aviral Kumar
;
Abakah, Emmanuel Joel Aikins
; …
- In:
Energy economics
108
(
2022
),
pp. 1-30
Persistent link: https://www.econbiz.de/10013203257
Saved in:
9
Dynamic risk spillovers from oil to stock markets : fresh evidence from GARCH copula quantile regression-based CoVaR model
Tian, Maoxi
;
Alshater, Muneer Maher
;
Yoon, Seong-min
- In:
Energy economics
115
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013541787
Saved in:
10
Forecasting volatility and correlation between oil and gold prices using a novel
multivariate
GAS model
Chen, Rongda
;
Xu, Jianjun
- In:
Energy economics
78
(
2019
),
pp. 379-391
Persistent link: https://www.econbiz.de/10012159962
Saved in:
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