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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 173-222
Persistent link: https://www.econbiz.de/10011987413
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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
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Forecasting covariance matrices : a mixed approach
Halbleib, Roxana; Voev, Valeri - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
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A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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Fourth moment structure of multivariate GARCH models
Hafner, Christian M. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 26-54
Persistent link: https://www.econbiz.de/10002220839
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Time inhomogenous multiple volatility modeling
Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
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Bayesian inference for multivariate copulas using pair-copula constructions
Min, Aleksey; Czado, Claudia - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 511-546
Persistent link: https://www.econbiz.de/10008665740
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Comparing univariate and multivariate models to forecast portfolio value-at-risk
Santos, André A. P.; Nogales, Francisco J.; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 400-441
Persistent link: https://www.econbiz.de/10009745807
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Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán; Heinen, Andréas; Valdesogo, Alfonso - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 437-480
Persistent link: https://www.econbiz.de/10003907528