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Granger-causality in Markov sw...
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A Markov switching long memory model of crude oil price return volatility
Di Sanzo, Silvestro
- In:
Energy economics
74
(
2018
),
pp. 351-359
Persistent link: https://www.econbiz.de/10011972860
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2
Flexible dynamic consitional correlation multivariate GARCH models for asset allocation
Billio, Monica
(
contributor
);
Gobbo, Michele
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003376752
Saved in:
3
Flexible dynamic conditional correlation multivariate GARCH models for asset allocation
Billio, Monica
;
Caporin, Massimiliano
;
Gobbo, Michele
- In:
Applied financial economics letters
2
(
2006
)
2
,
pp. 123-130
Persistent link: https://www.econbiz.de/10003302525
Saved in:
4
Bayesian combinations of stock price predictions with an application to the Amsterdam exchange index
Billio, Monica
;
Casarin, Roberto
;
Ravazzolo, Francesco
; …
-
2011
Persistent link: https://www.econbiz.de/10009126681
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5
A generalized dynamic conditional correlation model for portfolio risk evaluation
Billio, Monica
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003397550
Saved in:
6
Value-at-Risk: a multivariate switching regime approach
Billio, Monica
;
Pelizzon, Loriana
- In:
Journal of empirical finance
7
(
2000
)
5
,
pp. 531-554
Persistent link: https://www.econbiz.de/10001545287
Saved in:
7
Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica
;
Caporin, Massimiliano
;
Frattarolo, Lorenzo
-
2020
Persistent link: https://www.econbiz.de/10012244841
Saved in:
8
Efficient Gibbs sampling for Markov switching GARCH models
Billio, Monica
;
Casarin, Roberto
;
Osuntuyi, Anthony
-
2012
Persistent link: https://www.econbiz.de/10011629073
Saved in:
9
Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica
;
Casarin, Roberto
;
Osuntuyi, Anthony
-
2014
Persistent link: https://www.econbiz.de/10011629426
Saved in:
10
Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica
;
Caporin, Massimiliano
;
Frattarolo, Lorenzo
-
2016
Persistent link: https://www.econbiz.de/10011629466
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