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~person:"Groenen, Patrick"
~person:"Koopman, Siem Jan"
~person:"Storti, Giuseppe"
~subject:"Multivariate volatility"
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Multivariate volatility
Multivariate Analyse
16
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11
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Groenen, Patrick
Koopman, Siem Jan
Storti, Giuseppe
Janus, Paweł
3
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3
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2
Xu, Yongdeng
2
Amendola, Alessandra
1
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ECONIS (ZBW)
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A Model Confidence Set approach to the combination of multivariate volatility forecasts
Amendola, Alessandra
;
Braione, Manuela
;
Candila, Vincenzo
; …
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 873-891
Persistent link: https://www.econbiz.de/10012496876
Saved in:
2
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
-
2011
Persistent link: https://www.econbiz.de/10009720703
Saved in:
3
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
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