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A blocking and regularization approach to high‐dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C. A. - In: Journal of Applied Econometrics 27 (2012) 4, pp. 625-645

Persistent link: https://www.econbiz.de/10011006423

Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - In: Journal of Applied Econometrics 30 (2015) 2, pp. 263-290

Persistent link: https://www.econbiz.de/10011198395

Multivariate dynamic intensity peaks‐over‐threshold models

Hautsch, Nikolaus; Herrera, Rodrigo - In: Journal of Applied Econometrics 35 (2019) 2, pp. 248-272

Persistent link: https://www.econbiz.de/10012082875

Multivariate GARCH models: a survey

Laurent, Sébastien; Bauwens, Luc; Rombouts, Jeroen V. K. - In: Journal of Applied Econometrics 21 (2006) 1, pp. 79-109

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.

Persistent link: https://www.econbiz.de/10005823698

MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES

Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - In: Journal of Applied Econometrics 28 (2013) 5, pp. 743-761

Persistent link: https://www.econbiz.de/10010682793

The Econometrics of Industrial Organization

Bauwens, Luc; Escribano, Alvaro; Lubrano, Michel - In: Journal of Applied Econometrics 22 (2007) 7, pp. 1153-1156

Persistent link: https://www.econbiz.de/10005252084