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A new multivariate EWMA scheme for monitoring covariance matrices

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Testing covariance stationarity

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Econometric analysis of realised volatility and its use in estimating Lévy based non-Gaussian OU type stochastic volatility models

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Comparing high-dimensional conditional covariance matrices : implications for portfolio selection

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Functional autoregression for sparsely sampled data

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Tail distribution of the maximum of correlated Gaussian random variables

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