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Proximity-structured multivariate volatility models
Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
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Periodic long-memory GARCH models
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco - In: Econometric reviews 28 (2009) 1/3, pp. 60-82
Persistent link: https://www.econbiz.de/10003800657
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Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
Bonaccolto, G.; Caporin, Massimiliano; Zambon, N. - In: The European journal of finance 27 (2021) 11, pp. 1098-1116
Persistent link: https://www.econbiz.de/10012609265
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Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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Bayesian semiparametric multivariate stochastic volatility with application
Zaharieva, Martina Danielova; Trede, Mark; Wilfling, Bernd - In: Econometric reviews 39 (2020) 9, pp. 947-970
Persistent link: https://www.econbiz.de/10012295590