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Search: subject_exact:"ARCH-Modell"
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Rombouts, Jeroen V. K.
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CORE discussion paper : DP
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Consistent ranking of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
-
2009
Persistent link: https://www.econbiz.de/10003850918
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2
Asymmetric CAPM dependence for large dimensions : the canonical vine autoregressive model
Heinen, Andréas
;
Valdesogo, Alfonso
-
2009
Persistent link: https://www.econbiz.de/10003965998
Saved in:
3
Dynamic optimal portfolio selection in a VaR framework
Rengifo, Erick W.
;
Rombouts, Jeroen V. K.
-
2004
Persistent link: https://www.econbiz.de/10002347876
Saved in:
4
Bayesian clustering of many GARCH models
Bauwens, Luc
;
Rombouts, Jeroen V. K.
-
2003
Persistent link: https://www.econbiz.de/10001910278
Saved in:
5
Semiparametric multivariate GARCH models
Hafner, Christian M.
;
Rombouts, Jeroen V. K.
-
2003
Persistent link: https://www.econbiz.de/10001790716
Saved in:
6
Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
Horváth, Lajos
;
Kokoszka, Piotr
;
Tessière, Gilles
-
2003
Persistent link: https://www.econbiz.de/10001790731
Saved in:
7
The information content of implied volatility indexes for forecasting volatility and market risk
Giot, Pierre
-
2003
Persistent link: https://www.econbiz.de/10001791288
Saved in:
8
Market risk in commodity markets : a VaR approach
Giot, Pierre
;
Laurent, Sébastien
-
2003
Persistent link: https://www.econbiz.de/10001791292
Saved in:
9
Multivariate GARCH models : a survey
Bauwens, Luc
;
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
-
2003
Persistent link: https://www.econbiz.de/10001791482
Saved in:
10
Estimation of temporally aggregated multivariate GARCH models
Hafner, Christian M.
;
Rombouts, Jeroen V. K.
-
2003
Persistent link: https://www.econbiz.de/10001876196
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