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Correlation
Multivariate stochastic volatility
35
Volatilität
26
Estimation
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Stochastischer Prozess
23
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23
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multivariate stochastic volatility
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Multivariate Stochastic Volatility
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Hartwig, Benny
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Pelagatti, Matteo
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ECONIS (ZBW)
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1
Multivariate
stochastic
volatility
models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
2
Estimating high dimensional
multivariate
stochastic
volatility
models
Pelagatti, Matteo
;
Sbrana, Giacomo
-
2020
Persistent link: https://www.econbiz.de/10012318391
Saved in:
3
Robust inference in time-varying structural VAR models : the DC-cholesky
multivariate
stochastic
volatility
model
Hartwig, Benny
-
2020
Cholesky
multivariate
stochastic
volatility
model. It establishes that systematically different dynamic restrictions are …
multivariate
stochastic
volatility
model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012424283
Saved in:
4
Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny
-
2020
Cholesky
multivariate
stochastic
volatility
model.It establishes that systematically different dynamic restrictions are imposed …
Persistent link: https://www.econbiz.de/10012250452
Saved in:
5
A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto
;
Sartore, Domenico
;
Tronzano, Marco
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
Saved in:
6
Multivariate
stochastic
volatility
with dynamic cross leverage
Trojan, Sebastian
-
2014
Persistent link: https://www.econbiz.de/10010437486
Saved in:
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