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Dynamic optimal portfolio selection in a VaR framework
Rengifo, Erick W.; Rombouts, Jeroen V. K. - 2004
Persistent link: https://www.econbiz.de/10002347876
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Multivariate modelling of time series count data : an autoregressive conditional poisson model
Heinen, Andréas; Rengifo, Erick W. - 2003
Persistent link: https://www.econbiz.de/10001791283
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Trading activity and liquidity supply in a pure limit order book market : an empirical analysis using a multivariate count data model
Grammig, Joachim; Heinen, Andréas; Rengifo, Erick W. - 2004
Persistent link: https://www.econbiz.de/10002390653
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Multivariate reduced rank regression in non-Gaussian contexts, using copulas
Heinen, Andréas; Rengifo, Erick W. - 2004
Persistent link: https://www.econbiz.de/10002344130
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Bayesian clustering of many GARCH models
Bauwens, Luc; Rombouts, Jeroen V. K. - 2003
Persistent link: https://www.econbiz.de/10001910278
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Clustered panel data models : an efficient approach for nowcasting from poor data
Mouchart, Michel; Rombouts, Jeroen V. K. - 2003
Persistent link: https://www.econbiz.de/10001910343
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Semiparametric multivariate GARCH models
Hafner, Christian M.; Rombouts, Jeroen V. K. - 2003
Persistent link: https://www.econbiz.de/10001790716
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Multivariate GARCH models : a survey
Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - 2003
Persistent link: https://www.econbiz.de/10001791482
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Estimation of temporally aggregated multivariate GARCH models
Hafner, Christian M.; Rombouts, Jeroen V. K. - 2003
Persistent link: https://www.econbiz.de/10001876196
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Asymptotic properties of the Bernstein density copula for dependent data
Bouezmarni, Taoufik; Rombouts, Jeroen V. K.; Taamouti, … - 2008
Persistent link: https://www.econbiz.de/10003813959