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~person:"Barassi, Marco R."
~person:"Hansen, Peter Reinhard"
~person:"Lovcha, Yuliya"
~subject:"Korrelation"
~type_genre:"Aufsatz in Zeitschrift"
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Korrelation
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Barassi, Marco R.
Hansen, Peter Reinhard
Lovcha, Yuliya
Engle, Robert F.
3
Janus, Paweł
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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Change‐point detection in the conditional correlation structure of multivariate volatility models
Barassi, Marco R.
;
Horváth, Lajos
;
Zhao, Yuqian
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 340-349
Persistent link: https://www.econbiz.de/10012262479
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2
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
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