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Measuring Contagion with a Bay...
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Elliott, Robert J.
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42
Billio, Monica
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Siu, Tak Kuen
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29
Guidolin, Massimo
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Gupta, Rangan
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Tsionas, Efthymios G.
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Zha, Tao
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Kim, Chang-jin
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Chib, Siddhartha
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Cui, Zhenyu
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Doraszelski, Ulrich
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Paap, Richard
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Ravazzolo, Francesco
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Leiva-Leon, Danilo
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Dijk, Dick van
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Josephson, Jens
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Lux, Thomas
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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European journal of operational research : EJOR
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Operations research letters
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Discussion paper / Tinbergen Institute
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International journal of production research
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Economics letters
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International journal of production economics
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International review of financial analysis
33
Finance and stochastics
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1
State
correlation
and
forecasting
: a Bayesian approach using unobserved components models
Uzeda, Luis
- In:
Essays in honour of Fabio Canova
,
(pp. 25-53)
.
2022
Persistent link: https://www.econbiz.de/10013443965
Saved in:
2
Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian
-
2014
Persistent link: https://www.econbiz.de/10010437486
Saved in:
3
Multivariate stochastic volatility model with realized volatilities and pairwise realized
correlations
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 839-855
Persistent link: https://www.econbiz.de/10012313374
Saved in:
4
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
5
Correlated risks vs
contagion
in stochastic transition models
Gagliardini, Patrick
;
Gouriéroux, Christian
- In:
Journal of economic dynamics & control
37
(
2013
)
11
,
pp. 2241-2269
Persistent link: https://www.econbiz.de/10010196887
Saved in:
6
Analysis of
contagion
from the dynamic conditional
correlation
model with Markov Regime switching
Rotta, Pedro Nielsen
;
Pereira, Pedro L. Valls
- In:
Applied economics
48
(
2016
)
25/27
,
pp. 2367-2382
Persistent link: https://www.econbiz.de/10011590996
Saved in:
7
A Bayesian Markov-switching
correlation
model for
contagion
analysis on exchange rate markets
Casarin, Roberto
;
Sartore, Domenico
;
Tronzano, Marco
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
Saved in:
8
Stochastic multivariate mixture
covariance
model
So, Mike Ka-pui
;
Li, Raymond W. M.
;
Asai, Manabu
;
Jiang, Yue
- In:
Journal of forecasting
36
(
2017
)
2
,
pp. 139-155
Persistent link: https://www.econbiz.de/10011729126
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9
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
10
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
-
2021
Persistent link: https://www.econbiz.de/10013339035
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