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~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of econometrics"
~subject:"Prognoseverfahren"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Search: subject_exact:"Correspondence analysis"
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Prognoseverfahren
Volatilität
Multivariate Analyse
72
Multivariate analysis
72
Time series analysis
29
Zeitreihenanalyse
29
Theorie
28
Theory
28
Estimation theory
25
Schätztheorie
25
Volatility
23
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Nichtparametrisches Verfahren
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Kointegration
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Article in journal
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English
28
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Engle, Robert F.
2
Gouriéroux, Christian
2
Hafner, Christian M.
2
Jasiak, Joann
2
Paolella, Marc S.
2
Polak, Pawel
2
Asai, Manabu
1
Bauer, Gregory H.
1
Bezemer, Dirk Johan
1
Busch, Marie
1
Carriero, Andrea
1
Catania, Leopoldo
1
Chan, Thomas W. C.
1
Chu, Amanda M. Y.
1
De Nard, Gianluca
1
Dhaene, Geert
1
Di Mari, Roberto
1
Dovonon, Prosper
1
Escobar, Marcos
1
Francq, Christian
1
Gonçalves, Sílvia
1
Grydaki, Maria
1
Herwartz, Helmut
1
Jin, Xin
1
Kapetanios, George
1
Kokholm, Thomas
1
Koop, Gary
1
Korobilis, Dimitris
1
Krüger, Daniel
1
Laurent, Sébastien
1
Ledoit, Olivier
1
Leschinski, Christian
1
Linton, Oliver
1
Maheu, John M.
1
Marcellino, Massimiliano
1
Marcucci, Juri
1
Maxand, Simone
1
McAleer, Michael
1
Meddahi, Nour
1
Min, Aleksey
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Journal of banking & finance
Journal of econometrics
International journal of forecasting
23
Econometric reviews
18
Journal of forecasting
13
Energy economics
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Applied economics
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of applied econometrics
5
Journal of empirical finance
5
The European journal of finance
5
Economic modelling
4
European journal of operational research : EJOR
4
Insurance / Mathematics & economics
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
The review of economics and statistics
4
Applied financial economics
3
Computational economics
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Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International Journal of Energy Economics and Policy : IJEEP
3
International review of economics & finance : IREF
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Investment management and financial innovations
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Journal of financial and quantitative analysis : JFQA
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Journal of financial econometrics
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Research in international business and finance
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Astin bulletin : the journal of the International Actuarial Association
2
Central European journal of economic modelling and econometrics
2
Economics letters
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Finance research letters
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International journal of economics and financial issues : IJEFI
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International journal of production economics
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International journal of theoretical and applied finance
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International review of financial analysis
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Journal of economic studies
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Journal of international money and finance
2
Journal of risk and financial management : JRFM
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
28
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28
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1
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
2
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
3
Stationary vine copula models for multivariate time series
Nagler, Thomas
;
Krüger, Daniel
;
Min, Aleksey
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 305-324
Persistent link: https://www.econbiz.de/10013441987
Saved in:
4
Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
Saved in:
5
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
6
Hierarchical Markov-switching models for multivariate integer-valued time-series
Catania, Leopoldo
;
Di Mari, Roberto
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 118-137
Persistent link: https://www.econbiz.de/10012618804
Saved in:
7
Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
Saved in:
8
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
9
Bayesian compressed vector autoregressions
Koop, Gary
;
Korobilis, Dimitris
;
Pettenuzzo, Davide
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 135-154
Persistent link: https://www.econbiz.de/10012303386
Saved in:
10
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
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