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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
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Eigen-analysis for high-dimensional time series clustering
Zhang, Bo; Gao, Jiti; Pan, Guangming; Yang, Yanrong - 2023
Persistent link: https://www.econbiz.de/10014452611
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Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437486
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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
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Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han; Fei, Yijie; Yu, Jun - 2023
Persistent link: https://www.econbiz.de/10014329798
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Contagion effect of the oil shock and US financial crisis on the GCC and BRIC countries
Ghorbel, Achraf; Boujelbene, Younes - In: International journal of energy sector management : IJESM 7 (2013) 4, pp. 430-447
Persistent link: https://www.econbiz.de/10010222996
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Comprehensive definitions of breakdown-points for independent and dependent observations
Genton, Marc G.; Lucas, André - 2000
-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …
Persistent link: https://www.econbiz.de/10011303297
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Testing the conventional and Islamic financial market contagion : evidence from wavelet analysis
Buerhan Saiti; Obiyathulla Ismath Bacha; Masih, Mansur - In: Emerging markets finance & trade : a journal of the … 52 (2016) 7/9, pp. 1832-1849
Persistent link: https://www.econbiz.de/10011594536
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Contagion among select global equity markets : a time-frequency analysis
Bhandari, Avishek; Kamaiah, Bandi - In: Global economy journal : GEJ 19 (2019) 4, pp. 1950023-1-29
Persistent link: https://www.econbiz.de/10012214476
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Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick; Reh, Laura - In: Finance research letters 56 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014473708