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~person:"Corsetti, Giancarlo"
~person:"Escobar, Marcos"
~person:"Weber, Enzo"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Corsetti, Giancarlo
Escobar, Marcos
Weber, Enzo
Asai, Manabu
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Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Bergen, V.
;
Escobar, Marcos
;
Rubtsov, A.
;
Zagst, Rudi
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1265-1294
Persistent link: https://www.econbiz.de/10011911537
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2
On the identification of multivariate correlated unobserved components models
Trenkler, Carsten
;
Weber, Enzo
- In:
Economics letters
138
(
2016
),
pp. 15-18
Persistent link: https://www.econbiz.de/10011615339
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3
Testing for codependence of cointegrated variables
Trenkler, Carsten
;
Weber, Enzo
- In:
Applied economics
45
(
2013
)
13/15
,
pp. 1953-1964
Persistent link: https://www.econbiz.de/10009758484
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4
CreditGrades framework within stochastic covariance models
Escobar, Marcos
;
Arian, Hamidreza
;
Seco, Luis
- In:
Journal of mathematical finance
2
(
2012
)
4
,
pp. 303-314
Persistent link: https://www.econbiz.de/10009725338
Saved in:
5
Structural conditional correlation
Weber, Enzo
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
3
,
pp. 392-407
Persistent link: https://www.econbiz.de/10003997412
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