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Search: subject:"multivariate stochastic volatility"
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Schock
Multivariate stochastic volatility
35
Volatilität
26
Estimation
24
Schätzung
23
Stochastischer Prozess
23
Volatility
23
Stochastic process
20
multivariate stochastic volatility
20
Multivariate Stochastic Volatility
15
Time series analysis
14
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14
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13
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11
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10
Kapitaleinkommen
8
block structures
8
curse of dimensionality
8
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7
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7
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7
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7
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leverage effects
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heavy-tailed distribution
6
multi-factors
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Fractional Brownian motion
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Leverage Effects
5
Leverage effects
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Shock
5
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5
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Hartwig, Benny
2
Casarin, Roberto
1
Castillo B., Paul
1
Montoya, Jimena
1
Quineche, Ricardo
1
Sartore, Domenico
1
Shin, Minchul
1
Tronzano, Marco
1
Zhong, Molin
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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ECONIS (ZBW)
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1
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:
2
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:
3
A new approach to identifying the real effects of uncertainty shocks
Shin, Minchul
;
Zhong, Molin
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 367-379
Persistent link: https://www.econbiz.de/10012262481
Saved in:
4
From the "Great Inflation" to the "Great Moderation" in Peru : a time varying structural vector autoregressions analysis
Castillo B., Paul
;
Montoya, Jimena
;
Quineche, Ricardo
-
2016
Persistent link: https://www.econbiz.de/10011503984
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:
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