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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~person:"Caporale, Guglielmo Maria"
~person:"Dreher, Axel"
~person:"Engle, Robert F."
~person:"Lucas, André"
~person:"Pesaran, M. Hashem"
~subject:"Volatilität"
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Caporale, Guglielmo Maria
Dreher, Axel
Engle, Robert F.
Lucas, André
Pesaran, M. Hashem
Tsay, Ruey S.
2
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Discussion paper / Tinbergen Institute
7
Working paper series / University of Zurich, Department of Economics
3
CESifo working papers
2
Cambridge working papers in economics
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Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
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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