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~subject:"Dynamic covariance matrix"
~subject:"Estimation theory"
~subject:"Futures"
~subject:"long memory"
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Dynamic covariance matrix
Estimation theory
Futures
long memory
Volatilität
881
Volatility
878
Kapitaleinkommen
504
Capital income
501
Realized volatility
493
Prognoseverfahren
474
Forecasting model
470
realized volatility
413
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409
Estimation
400
Zeitreihenanalyse
393
Time series analysis
377
Theorie
333
ARCH-Modell
332
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330
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310
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256
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244
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178
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174
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126
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124
Varianzanalyse
123
Schätztheorie
117
Analysis of variance
116
Welt
102
Stochastischer Prozess
101
World
101
Stochastic process
99
Realized variance
98
Forecasting
97
Realized Volatility
94
forecasting
90
High-frequency data
88
high-frequency data
86
Portfolio-Management
76
Market microstructure
75
realized variance
75
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74
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Free
74
Undetermined
70
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Article
103
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70
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103
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103
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44
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31
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30
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1
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1
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English
161
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12
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All
Asai, Manabu
10
McAleer, Michael
9
Bollerslev, Tim
6
Medeiros, Marcelo C.
6
Diebold, Francis X.
5
Shin, Dong-wan
5
Andersen, Torben G.
4
Barunik, Jozef
4
Bauwens, Luc
4
Hwang, Eunju
4
Martens, Martin
4
Mykland, Per A.
4
Otranto, Edoardo
4
Wu, Jin
4
Chang, Chia-Lin
3
Christensen, Bent Jesper
3
Dijk, Dick van
3
Hounyo, Ulrich
3
Kim, Donggyu
3
Li, Yingying
3
Lux, Thomas
3
Morales-Arias, Leonardo
3
Nielsen, Morten Ørregaard
3
Pooter, Michiel de
3
Sattarhoff, Cristina
3
Shenai, Nikhil
3
Shi, Shuping
3
Vander Elst, Harry
3
Wang, Yazhen
3
Wu, Xinyu
3
Yu, Jun
3
Zhang, Lan
3
Zikes, Filip
3
Alfelt, Gustav
2
Arnerić, Josip
2
Bodnar, Taras
2
Caporale, Guglielmo Maria
2
Cipollini, Fabrizio
2
Clements, Adam
2
Clinet, Simon
2
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School of Economics and Management, University of Aarhus
3
Center for Financial Studies
2
Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
2
Economics Department, Queen's University
2
Abteilung "Marktprozesse und Steuerung", Wissenschaftszentrum Berlin für Sozialforschung (WZB)
1
Department Volkswirtschaftslehre, Fachbereich für Wirtschaftswissenschaften
1
Department of Economics and Finance, College of Business and Economics
1
Department of Economics, University of Peloponnese
1
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1
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1
HAL
1
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
1
Institut für Weltwirtschaft (IfW)
1
Institute of Economic Research, Kyoto University
1
International Centre for Economic Research (ICER)
1
Nationale Bank van België/Banque national de Belqique (BNB)
1
School of Economics and Finance, Tasmanian School of Business and Economics
1
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1
Tinbergen Instituut
1
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Journal of econometrics
22
Discussion paper / Tinbergen Institute
8
Finance research letters
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of financial econometrics
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Economics letters
5
International journal of forecasting
4
CORE discussion papers : DP
3
CREATES Research Papers
3
Econometric reviews
3
Finmap working paper
3
Journal of forecasting
3
Quantitative finance
3
Tinbergen Institute Discussion Paper
3
CFS Working Paper Series
2
CIE working paper series
2
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
Finance a úvěr
2
Journal of banking & finance
2
Journal of risk
2
Journal of time series econometrics
2
Quantitative finance and economics
2
Queen's Economics Department Working Paper
2
Research in international business and finance
2
Texto para discussão
2
Textos para discussão
2
The European journal of finance
2
Tinbergen Institute Discussion Papers
2
Working Papers / Economics Department, Queen's University
2
Working paper
2
Application of operations research to financial markets
1
Applied economics
1
Applied economics letters
1
BGPE discussion paper : Bavarian graduate program in economics
1
CEMMAP working papers / Centre for Microdata Methods and Practice
1
CESifo Working Paper
1
CESifo working papers
1
CFS Working Paper
1
CREATES research paper
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ECONIS (ZBW)
136
RePEc
24
EconStor
13
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1
Singular conditional autoregressive Wishart model for
realized
covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Composite forecasting of vast-dimensional
realized
covariance matrices using factor state-space models
Hartkopf, Jan Patrick
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
1
,
pp. 393-436
Persistent link: https://www.econbiz.de/10014226292
Saved in:
3
Realized
BEKK-CAW models
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
Saved in:
4
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013326614
Saved in:
5
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542193
Saved in:
6
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
7
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
8
Weighted least squares
realized
covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
9
A two-component
realized
exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
10
Realized
matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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