Search Results - subject:"Multivariate"

Yan, Lili; Kellard, Neil M.; Lambercy, Lyudmyla - In: International review of financial analysis 100 (2025), pp. 1-23

Persistent link: https://www.econbiz.de/10015605469

Multivariate zero-inflated INAR(1) model with an application in automobile insurance

Zhang, Pengcheng; Chen, Zezhun; Tzougas, George; … - In: North American actuarial journal : NAAJ ; leading the … 29 (2025) 2, pp. 310-328

Persistent link: https://www.econbiz.de/10015552596

New approaches of the multivariate GARCH residual : application to foreign exchange rates

Shiraya, Kenichiro; Suzuki, Kanji; Yamakami, Tomohisa - In: Quantitative finance 25 (2025) 9, pp. 1461-1483

Persistent link: https://www.econbiz.de/10015534201

Multivariate rough volatility

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://www.econbiz.de/10015326256

Time-varying multivariate causal processes

Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - In: Journal of econometrics 240 (2024) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10015075008

Multivariate stochastic volatility modeling via integrated nested laplace approximations : a multifactor extension

Nacinben, João Pedro Coli de Souza Monteneri; Laurini, … - In: Econometrics : open access journal 12 (2024) 1, pp. 1-28

This study introduces a multivariate extension to the class of stochastic volatility models, employing integrated … aims to establish a computationally efficient approach for estimating multivariate stochastic volatility models. We propose …

Persistent link: https://www.econbiz.de/10014636390

Comparing multivariate distributions : a novel approach using optimal transport-based plots

Singha, Sibsankar; Kratz, Marie; Vadlamani, Sreekar - 2024

Persistent link: https://www.econbiz.de/10014545370

Optimal market-neutral multivariate pair trading on the cryptocurrency platform

Yang, Hongshen; Malik, Avinash - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-24

This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique …

Persistent link: https://www.econbiz.de/10015101757

The time-varying multivariate autoregressive index model

Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - 2024

Persistent link: https://www.econbiz.de/10014515646

Relevance of dynamic variables in multicategory choice models

Hruschka, Harald - In: OR spectrum : quantitative approaches in management 46 (2024) 1, pp. 109-133

Persistent link: https://www.econbiz.de/10014519162