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Semiparametric multivarite vol...
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26
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25
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23
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105
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98
International journal of forecasting
96
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96
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93
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91
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86
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59
Economics letters
52
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51
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50
Journal of forecasting
48
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47
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47
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43
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36
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35
International journal of finance & economics : IJFE
34
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33
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
22
International journal of economics and finance
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1
Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model
Salgado, Daniel Henrique
;
Candido, Osvaldo
- In:
Journal of risk
21
(
2018/2019
)
2
,
pp. 37-62
Persistent link: https://www.econbiz.de/10011981418
Saved in:
2
SpotV2Net : multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks
Brini, Alessio
;
Toscano, Giacomo
- In:
International journal of forecasting
41
(
2025
)
3
,
pp. 1093-1111
Persistent link: https://www.econbiz.de/10015441528
Saved in:
3
Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies
Luo, Jiawen
;
Cepni, Oguzhan
;
Demirer, Rıza
;
Gupta, Rangan
- In:
Journal of empirical finance
81
(
2025
),
pp. 1-34
Persistent link: https://www.econbiz.de/10015405336
Saved in:
4
Univariate and Multivariate Estimates of Symmetric and Asymmetric Conditional Volatilities and Conditional Correlations for Risk Returns
Hoti, S.
;
McAleer, Michael
- In:
Modelling the riskiness in country risk ratings
,
(pp. 349-469)
.
2005
Persistent link: https://www.econbiz.de/10015385842
Saved in:
5
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
6
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
7
Multivariate volatility forecasts for stock market indices
Wilms, Ines
;
Rombouts, Jeroen V. K.
;
Croux, Christophe
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
Saved in:
8
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
Saved in:
9
A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia
;
Ding, Xiaoyi
;
Xu, Qifa
;
Tong, Yongbo
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
Saved in:
10
A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation
Hwang, Eunju
;
Hong, Wontack
- In:
Economics letters
203
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012607334
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