. Die zweite Auflage basiert auf Version 18 des Softwareprogramms SPSS, die auch unter der Bezeichnung PASW Statistics …

quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the … market Index Cohesive Force and the meta-correlations (correlations between the intra-correlations.) We investigated the … "identity'' - it switches between periods of high meta-correlations with the "western'' markets and periods that it behaves more …

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of … positive definiteness of covariance matrices without imposing parametric restrictions. Simulated Bayesian parameter estimates … as well as positive definite (co)variance forecasts are obtained using Markov Chain Monte Carlo (MCMC) methods. An …