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~isPartOf:"Journal of empirical finance"
~isPartOf:"Post-Print / HAL"
~language:"eng"
~subject:"ARCH-Modell"
~subject:"Multivariate Analyse"
~subject:"Share price"
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ARCH-Modell
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Wied, Dominik
2
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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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Journal of empirical finance
Post-Print / HAL
Journal of econometrics
67
Insurance / Mathematics & economics
58
Energy economics
50
Applied economics
43
Economic modelling
35
International journal of production research
34
Econometric reviews
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33
International journal of forecasting
31
Journal of the American Statistical Association : JASA
31
Discussion paper / Tinbergen Institute
29
Economics letters
28
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
28
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Journal of banking & finance
27
International review of financial analysis
26
European journal of operational research : EJOR
25
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23
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21
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19
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Working papers / Universitat Pompeu Fabra, Department of Economics and Business
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Journal of international financial markets, institutions & money
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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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
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:
3
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:
4
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:
5
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:
6
Monitoring
multivariate
variance changes
Pape, Katharina
;
Wied, Dominik
;
Galeano, Pedro
- In:
Journal of empirical finance
39
(
2016
),
pp. 54-68
Persistent link: https://www.econbiz.de/10011663296
Saved in:
7
Modelling household finances : a Bayesian approach to a
multivariate
two-part model
Brown, Sarah
;
Ghosh, Pulak
;
Su, Li
;
Taylor, Karl
- In:
Journal of empirical finance
33
(
2015
),
pp. 190-207
Persistent link: https://www.econbiz.de/10011556870
Saved in:
8
Moments of
multivariate
regime switching with application to risk-return trade-off
Taamouti, Abderrahim
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 292-308
Persistent link: https://www.econbiz.de/10009615702
Saved in:
9
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo
;
Patton, Andrew J.
- In:
Journal of empirical finance
30
(
2015
),
pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
Saved in:
10
Order price clustering, size clustering, and stock price movements: evidence from the Taiwan Stock Exchange
Lien, Da-hsiang Donald
;
Hung, Pi-Hsia
;
Hung, I-Chung
- In:
Journal of empirical finance
52
(
2019
),
pp. 149-177
Persistent link: https://www.econbiz.de/10012170684
Saved in:
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