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Asymmetric dynamics in the correlations of global equity and bond returns
Sheppard, Kevin
;
Cappiello, Lorenzo
;
Engle, Robert F.
-
2003
Persistent link: https://www.econbiz.de/10011604250
Saved in:
2
Asymmetric dynamics in the correlations of global equity and bond returns
Sheppard, Kevin
;
Cappiello, Lorenzo
;
Engle, Robert F.
-
European Central Bank
-
2003
JEL Classification: F3, G1, C5
Persistent link: https://www.econbiz.de/10005816158
Saved in:
3
Correlations and volatilities of asynchronous data
Burns, Patrick
;
Engle, Robert F.
;
Mezrich, Joseph
-
1997
Persistent link: https://www.econbiz.de/10000979045
Saved in:
4
Correlations and volatilities of asynchronous data
Burns, Patrick
;
Engle, Robert F.
;
Mezrich, Joseph
-
1998
Persistent link: https://www.econbiz.de/10000988769
Saved in:
5
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2017
-
Revised version
for conditional heteroskedasticity; a favored model is Dynamic Conditional
Correlation
(DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10011640555
Saved in:
6
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 363-375
Persistent link: https://www.econbiz.de/10012178181
Saved in:
7
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2016
for conditional heteroskedasticity; a favored model is Dynamic Conditional
Correlation
(DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10011518597
Saved in:
8
Modeling the dynamics of correlations among implied volatilities
Engle, Robert F.
;
Figlewski, Stephen
- In:
Review of finance : journal of the European Finance …
19
(
2015
)
3
,
pp. 991-1018
Persistent link: https://www.econbiz.de/10011405161
Saved in:
9
Large scale conditional covariance matrix modeling, estimation and testing
Ding, Zhuanxin
;
Engle, Robert F.
- In:
Jingji-lunwen
29
(
2001
)
2
,
pp. 157-184
Persistent link: https://www.econbiz.de/10001652987
Saved in:
10
Dynamic conditional
correlation
: a simple class of multivariate GARCH models
Engle, Robert F.
-
2000
Persistent link: https://www.econbiz.de/10001500658
Saved in:
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