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~person:"Pesaran, M. Hashem"
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ECONIS (ZBW)
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1
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 Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...
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 Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...
Persistent link: https://www.econbiz.de/10013316934
Saved in:
5
An analysis of the determination of Deutsche Mark-French Franc exchange rate in a discrete-time target-zone model
Pesaran, M. Hashem
;
Samiei, Hossein
-
1991
Persistent link: https://www.econbiz.de/10000130949
Saved in:
6
Aggregation in large dynamic panels
Pesaran, M. Hashem
;
Chudik, Alexander
-
2011
concludes with an empirical application to consumer price inflation in
Germany
, France and Italy, and re-examines the extent to …
Persistent link: https://www.econbiz.de/10008856398
Saved in:
7
Aggregation in large dynamic panels
Pesaran, M. Hashem
;
Chudik, Alexander
-
2011
concludes with an empirical application to consumer price inflation in
Germany
, France and Italy, and re-examines the extent to …
Persistent link: https://www.econbiz.de/10009010169
Saved in:
8
Aggregation in large dynamic panels
Pesaran, M. Hashem
;
Chudik, Alexander
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 273-285
Persistent link: https://www.econbiz.de/10010256161
Saved in:
9
An analysis of the determination of Deutsche mark, French franc exchange rate in a discrete-time target-zone model
Pesaran, M. Hashem
- In:
The economic journal : the journal of the Royal …
102
(
1992
)
411
,
pp. 388-401
Persistent link: https://www.econbiz.de/10001129730
Saved in:
10
Analysis of exchange-rate target zones using a limited-dependent rational-expectations model with jumps
Pesaran, M. Hashem
- In:
Journal of business & economic statistics : JBES ; a …
17
(
1999
)
1
,
pp. 50-66
Persistent link: https://www.econbiz.de/10001253388
Saved in:
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