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~isPartOf:"Economics letters"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Statistical Papers / Springer"
~subject:"Korrelation"
~subject:"Schätzung"
~subject:"Share price"
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Search: subject:"Multivariate"
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Korrelation
Schätzung
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Theorie
49
Theory
49
Multivariate analysis
33
Multivariate Analyse
30
Multivariate distribution
30
Multivariate Verteilung
29
Time series analysis
21
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Patton, Andrew J.
2
Allen, David
1
Anatolyev, Stanislav
1
Avino, Davide
1
Bollerslev, Tim
1
Brooks, Robert
1
Chalvatzis, Konstantinos J.
1
Chow, William W.
1
Chung, San-lin
1
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1
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1
Dark, Jonathan
1
De Lira Salvatierra, Irving Arturo
1
De Nard, Gianluca
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
Hall, Stephen G.
1
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1
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1
Hung, Chi-hsiou
1
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1
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1
Jamali, Ibrahim
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1
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1
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1
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Kim, Jong-Min
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1
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1
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Economics letters
Journal of empirical finance
Statistical Papers / Springer
Energy economics
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
32
Economic modelling
31
Journal of econometrics
27
Applied economics
25
Journal of banking & finance
25
Discussion paper / Tinbergen Institute
21
International review of financial analysis
20
The North American journal of economics and finance : a journal of financial economics studies
20
Econometric reviews
19
Finance research letters
18
Research in international business and finance
18
International review of economics & finance : IREF
16
Journal of forecasting
15
International journal of forecasting
14
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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SFB 649 discussion paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Applied economics letters
11
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Insurance / Mathematics & economics
11
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10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
Journal of international financial markets, institutions & money
10
Journal of risk and financial management : JRFM
10
Review of quantitative finance and accounting
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
9
European journal of operational research : EJOR
9
The European journal of finance
9
CESifo working papers
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Econometrics : open access journal
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IZA Discussion Papers
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The empirical economics letters : a monthly international journal of economics
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ECONIS (ZBW)
31
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1
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Saved in:
2
Characterizing correlation matrices that admit a clustered factor representation
Tong, Chen
;
Hansen, Peter Reinhard
- In:
Economics letters
233
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014506906
Saved in:
3
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
4
Multivariate
models with long memory dependence in conditional correlation and volatility
Dark, Jonathan
- In:
Journal of empirical finance
48
(
2018
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012109291
Saved in:
5
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
Saved in:
6
Long memory dynamics for
multivariate
dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
7
A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David
;
Lizieri, Colin
;
Satchell, Stephen
- In:
Journal of empirical finance
58
(
2020
),
pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
Saved in:
8
Wild bootstrap Ljung-Box test for cross correlations of
multivariate
time series
Lee, Taewook
- In:
Economics letters
147
(
2016
),
pp. 59-62
Persistent link: https://www.econbiz.de/10011619440
Saved in:
9
Equity clusters through the lens of realized semicorrelations
Bollerslev, Tim
;
Patton, Andrew J.
;
Zhang, Haozhe
- In:
Economics letters
211
(
2022
),
pp. 1-5
Persistent link: https://www.econbiz.de/10013172536
Saved in:
10
Time varying price discovery
Avino, Davide
;
Lazar, Emese
;
Varotto, Simone
- In:
Economics letters
126
(
2015
),
pp. 18-21
Persistent link: https://www.econbiz.de/10011376376
Saved in:
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