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~person:"Groenen, Patrick"
~person:"Koopman, Siem Jan"
~subject:"Estimation"
~subject:"Multivariate volatility"
~type_genre:"Aufsatz in Zeitschrift"
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Groenen, Patrick
Koopman, Siem Jan
Gil-Alaña, Luis A.
4
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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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2
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
Saved in:
3
Monte Carlo likelihood estimation for three multivariate stochastic volatility models
Jungbacker, Borus
;
Meyer, Renate
;
Koopman, Siem Jan
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 385-408
Persistent link: https://www.econbiz.de/10003355799
Saved in:
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