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Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan; Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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Adäquate Modellierung von Finanzzeitreihen und Parameterschätzung in Modellen mit autoregressiver bedingter Heteroskedastie
Brechtmann, Markus - 1998
Persistent link: https://www.econbiz.de/10000675119
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Stock returns and conditional volatility : an empirical investigation of the Swedish stock market
Hansson, Björn A.; Hördahl, Peter - 1994 - Preliminary version
Persistent link: https://www.econbiz.de/10000889012
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Ein nicht-lineares Zeitreihenmodell für schweizerische Aktienrenditen
Rohner, Marcel - 1993
Persistent link: https://www.econbiz.de/10000872628
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Why long horizons? : a study of power against persistent alternatives
Campbell, John Y. - 1993
Persistent link: https://www.econbiz.de/10000879027
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The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
El Din, Tarek Mohy - 1997
Persistent link: https://www.econbiz.de/10000623956
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Testing for nonlinearity in daily German stock returns
Funke, Michael - 1993
Persistent link: https://www.econbiz.de/10000142708
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Modelling economic high-frequency time series with STAR-STGARCH models
Lundbergh, Stefan; Teräsvirta, Timo - 1998
Persistent link: https://www.econbiz.de/10000168182
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Autocorrelation, seasonality and model choice in return estimation
Praetz, Peter - 1980
Persistent link: https://www.econbiz.de/10000012348
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Evidence on time-varying factor models for equity portfolio construction
Ebner, Markus; Neumann, Thorsten - In: Risk assessment : decisions in banking and finance, (pp. 11-14). 2008
Persistent link: https://www.econbiz.de/10003781592