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Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach

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Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors

Kim, Yunsun; Hwang, Sun Young; Kim, Jong-Min; Kim, Sahm - In: Applied economics 55 (2023) 3, pp. 255-272

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Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression

van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023

A time-series basis decomposition and trend extraction technique known as Empirical Mode Decomposition (EMD), designed for multi-scale time-frequency decomposition in non-stationary time-series settings, will be combined with Regularised Covariance Regression (RCR) methods to produce a framework...

Persistent link: https://www.econbiz.de/10014348857