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~subject:"Kapitaleinkommen"
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Kapitaleinkommen
Volatility
30
ARCH-Modell
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ARCH model
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Volatilität
25
Time series analysis
14
Zeitreihenanalyse
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Correlation
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Korrelation
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Share price
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Return comovement
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Capital income
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Constant conditional correlation
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Dynamic conditional correlation
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Volatility model evaluation
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binary choice model
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electricity spot prices
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logit model
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modelling volatility
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multivariate GARCH
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portfolio allocation
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price spikes
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Forecasting model
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English
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Silvennoinen, Annastiina
6
Teräsvirta, Timo
3
Clements, Adam
2
Amado, Cristina
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Scott, Ayesha
1
Thorp, Susan
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CREATES research paper
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Econometric reviews
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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ECONIS (ZBW)
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1
Modelling and forecasting WIG20 daily returns
Amado, Cristina
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721046
Saved in:
2
Volatility-dependent correlations : further evidence of when, where and how
Clements, Adam
;
Scott, Ayesha
;
Silvennoinen, Annastiina
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
2
,
pp. 505-540
Persistent link: https://www.econbiz.de/10012056697
Saved in:
3
Modelling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2012
Persistent link: https://www.econbiz.de/10009502490
Saved in:
4
Portfolio allocation : getting the most out of realised volatility
Clements, Adam
;
Silvennoinen, Annastiina
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10003978951
Saved in:
5
Financialization, crisis and commodity correlation dynamics
Silvennoinen, Annastiina
;
Thorp, Susan
-
2010
Persistent link: https://www.econbiz.de/10008662204
Saved in:
6
Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
Saved in:
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