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~person:"Pesaran, M. Hashem"
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003491106
Saved in:
2
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram
(
contributor
); …
-
2007
This paper considers a multivariate t version of the Gaussian dynamic conditional
correlation
(DCC) model proposed by …
Persistent link: https://www.econbiz.de/10003586562
Saved in:
3
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003499671
Saved in:
4
Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram
;
Pesaran, M. Hashem
-
2021
This paper considers a multivariate t version of the Gaussian dynamic conditional
correlation
(DCC) model proposed by …
Persistent link: https://www.econbiz.de/10013316934
Saved in:
5
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram
;
Pesaran, M. Hashem
- In:
Economic modelling
27
(
2010
)
6
,
pp. 1398-1416
Persistent link: https://www.econbiz.de/10008825760
Saved in:
6
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, M. Hashem
-
2010
Persistent link: https://www.econbiz.de/10003981032
Saved in:
7
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram
;
Pesaran, M. Hashem
-
2010
version of the Gaussian dynamic conditional
correlation
(DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10003965868
Saved in:
8
Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram
-
2013
version of the Gaussian dynamic conditional
correlation
(DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10013094817
Saved in:
9
Identification of new Keynesian Phillips Curves from a global perspective
Dées, Stéphane
;
Pesaran, M. Hashem
;
Smith, L. Vanessa
; …
-
2008
Persistent link: https://www.econbiz.de/10003641659
Saved in:
10
A VECX model of the Swiss economy
Assenmacher-Wesche, Katrin
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003688893
Saved in:
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