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~person:"Gribisch, Bastian"
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Component volatility models
3
Covariance matrix
3
Mixed data sampling
3
Observation-driven models
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Realized volatility
3
ARMA-Modell
1
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Gribisch, Bastian
Foroni, Claudia
9
Ghysels, Eric
9
Schumacher, Christian
8
Walther, Thomas
8
Klein, Tony
7
Marcellino, Massimiliano
6
Ravazzolo, Francesco
6
Bouri, Elie
5
Miller, J. Isaac
5
Motegi, Kaiji
5
Hill, Jonathan B.
4
Jiang, Cuixia
4
Neuwirth, Stefan
4
Xu, Qifa
4
Aastveit, Knut Are
3
Audrino, Francesco
3
Golosnoy, Vasyl
3
Gupta, Rangan
3
Javed, Farrukh
3
Liesenfeld, Roman
3
Nguyen, Duc Khuong
3
Valadkhani, Abbas
3
Wu, Xinyu
3
Andreani, Mila
2
Asgharian, Hossein
2
Asimakopoulos, Panagiotis
2
Asimakopoulos, Stylianos
2
Bach, Philipp
2
Candila, Vincenzo
2
Casarin, Roberto
2
Charfeddine, Lanouar
2
Chen, Qiang
2
Chikamatsu, Kyosuke
2
Clements, Michael P.
2
Deschamps, Bruno
2
Drechsel, Dirk
2
Dudda, Tom L.
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Farbmacher, Helmut
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Fendoglu, Salih
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Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
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Economics Working Paper
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Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
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Journal of Econometrics
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The conditional autoregressive wishart model for multivariate stock market volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
-
2010
Mixed
Data
Sampling (MIDAS) component and Heterogeneous Autoregressive (HAR) dynamics for long-run fluctuations. The CAW …
Persistent link: https://www.econbiz.de/10010300501
Saved in:
2
The conditional autoregressive wishart model for multivariate stock market volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
-
Institut für Volkswirtschaftslehre, …
-
2010
Mixed
Data
Sampling (MIDAS) component and Heterogeneous Autoregressive (HAR) dynamics for long-run fluctuations. The CAW …
Persistent link: https://www.econbiz.de/10008543002
Saved in:
3
The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of Econometrics
167
(
2012
)
1
,
pp. 211-223
Maximum Likelihood. We also propose extensions of the CAW model obtained by including a
Mixed
Data
Sampling (MIDAS) component …
Persistent link: https://www.econbiz.de/10010574098
Saved in:
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