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~isPartOf:"Journal of empirical finance"
~isPartOf:"Review of quantitative finance and accounting"
~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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Multivariate distribution
25
Multivariate Verteilung
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23
Theory
23
ARCH model
18
ARCH-Modell
18
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Allen, David
1
Alomari, Mohammad
1
Anatolyev, Stanislav
1
Baek, Chung
1
Baig, Ahmed S.
1
Black, Jeffrey R.
1
Blau, Benjamin
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Journal of empirical finance
Review of quantitative finance and accounting
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
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Finance research letters
18
Research in international business and finance
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International review of economics & finance : IREF
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Economics letters
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Journal of forecasting
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International journal of forecasting
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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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Working paper
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Applied economics letters
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Discussion paper
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Insurance / Mathematics & economics
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Computational economics
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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
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
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The European journal of finance
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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)
26
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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
Determinants of equity return correlations : a case study of the Amman Stock Exchange
Alomari, Mohammad
;
Power, David M.
;
Tantisantiwong, Nongnuch
- In:
Review of quantitative finance and accounting
50
(
2018
)
1
,
pp. 33-66
Persistent link: https://www.econbiz.de/10011979091
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
Trade-time clustering
Black, Jeffrey R.
;
Jain, Pankaj K.
;
Sun, Wei
- In:
Review of quantitative finance and accounting
60
(
2023
)
3
,
pp. 1209-1242
Persistent link: https://www.econbiz.de/10014291794
Saved in:
7
A geometric treatment of time-varying volatilities
Han, Chulwoo
;
Park, Frank C.
;
Kang, Jangkoo
- In:
Review of quantitative finance and accounting
49
(
2017
)
4
,
pp. 1121-1141
Persistent link: https://www.econbiz.de/10011797596
Saved in:
8
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:
9
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:
10
Volatility and asymmetric dependence in Central and East European stock markets
Joseph, Nathan Lael
;
Vo, Thi Thuy Anh
;
Mobarek, Asma
; …
- In:
Review of quantitative finance and accounting
55
(
2020
)
4
,
pp. 1241-1303
Persistent link: https://www.econbiz.de/10012304151
Saved in:
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