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~person:"Gohs, Andreas Marcus"
~person:"Koopman, Siem Jan"
~subject:"Volatilität"
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Search: subject:"multivariate GARCH"
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Gohs, Andreas Marcus
Koopman, Siem Jan
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The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, s...
Gohs, Andreas Marcus
-
2022
-at-Risk forecasts. The univariate and
multivariate
GARCH
models proposed in the literature are reviewed and the suitability of selected …
Persistent link: https://www.econbiz.de/10013474092
Saved in:
2
Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard
;
Janus, Paweł
;
Koopman, Siem Jan
-
2016
We propose a novel
multivariate
GARCH
model that incorporates realized measures for the variance matrix of returns. The …
Persistent link: https://www.econbiz.de/10011520881
Saved in:
3
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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