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Income inequality dynamic measurement of Markov models : application to some European countries
D'Amico, Guglielmo; Di Biase, Giuseppe; Manca, Raimondo - In: Economic modelling 29 (2012) 5, pp. 1598-1602
Persistent link: https://www.econbiz.de/10009667189
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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
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A Multivariate Integer Count Hurdle model : theory and application to exchange rate dynamics
Korycka-Bień, Katarzyna (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003449930
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10003586562
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A multivariate integer count hurdle model : theory and application to exchange rate dynamics
Korycka-Bień, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - In: High frequency financial econometrics : recent …, (pp. 31-48). 2008
Persistent link: https://www.econbiz.de/10003579355
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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/10003499671
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Multivariate Überprüfung von Hysteresiseffekten : eine empirische Analyse ausgewählter Arbeitsmärkte
Balz, Christoph - 1999
Persistent link: https://www.econbiz.de/10001363039
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An inflated multivariate integer count hurdle model : an application to bid and ask quote dynamics
Korycka-Bień, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - In: Journal of applied econometrics 26 (2011) 4, pp. 669-707
Persistent link: https://www.econbiz.de/10010218082
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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram; Pesaran, M. Hashem - 2021
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10013316934