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Copula-MGARCH with continuous covariance decomposition
Herwartz, Helmut; Raters, Fabian H. C. - In: Economics letters 133 (2015), pp. 73-76
Persistent link: https://www.econbiz.de/10011431988
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A Model Confidence Set approach to the combination of multivariate volatility forecasts
Amendola, Alessandra; Braione, Manuela; Candila, Vincenzo; … - In: International journal of forecasting 36 (2020) 3, pp. 873-891
Persistent link: https://www.econbiz.de/10012496876
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Analyzing hedging strategies for fixed income portfolios : a Bayesian approach for model selection
Bessler, Wolfgang; Leonhardt, Alexander; Wolff, Dominik - In: International review of financial analysis 46 (2016), pp. 239-256
Persistent link: https://www.econbiz.de/10011581819
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Volatility effects of index trading and spillovers on US agricultural futures markets : a multivariate GARCH approach
Sanjuán-López, Ana I.; Dawson, Philip J. - In: Journal of agricultural economics 68 (2017) 3, pp. 822-838
Persistent link: https://www.econbiz.de/10011949368
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Return prediction with time varying betas : a research in BIST
Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86
Persistent link: https://www.econbiz.de/10012504722
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Identification of structural multivariate GARCH models
Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - 2018
Persistent link: https://www.econbiz.de/10011993276
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Comparing multivariate volatility forecasts by direct and indirect approaches
Amendola, Alessandra; Candila, Vincenzo - In: Journal of risk 19 (2017) 6, pp. 33-57
Persistent link: https://www.econbiz.de/10011799128
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Identification of structural multivariate GARCH models
Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - In: Journal of econometrics 227 (2022) 1, pp. 212-227
Persistent link: https://www.econbiz.de/10013441647