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~isPartOf:"Journal of econometrics"
~person:"Asai, Manabu"
~person:"Bollerslev, Tim"
~person:"Fan, Jianqing"
~person:"Hong, Yongmiao"
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Search: subject_exact:"Korrelationskoeffizient"
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Asai, Manabu
Bollerslev, Tim
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Hong, Yongmiao
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ECONIS (ZBW)
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1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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2
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
3
Factor-adjusted regularized model selection
Fan, Jianqing
;
Ke, Yuan
;
Wang, Kaizheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 71-85
Persistent link: https://www.econbiz.de/10012439637
Saved in:
4
Robust covariance estimation for approximate factor models
Fan, Jianqing
;
Wang, Weichen
;
Zhong, Yiqiao
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 5-22
Persistent link: https://www.econbiz.de/10012139773
Saved in:
5
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
Saved in:
6
The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 182-192
Persistent link: https://www.econbiz.de/10003858519
Saved in:
7
High dimensional covariance matrix estimation using a factor model
Fan, Jianqing
;
Fan, Yingying
;
Lv, Jinchi
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 186-197
Persistent link: https://www.econbiz.de/10003783799
Saved in:
8
A test for volatility spillover with application to exchange rates
Hong, Yongmiao
- In:
Journal of econometrics
103
(
2001
)
1/2
,
pp. 183-224
Persistent link: https://www.econbiz.de/10001585360
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