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International asset allocation with regime shifts
Ang, Andrew; Bekaert, Geert - In: The review of financial studies 15 (2002) 4, pp. 1137-1187
Persistent link: https://www.econbiz.de/10001716088
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On portfolio optimization : forecasting covariances and choosing the risk model
Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - In: The review of financial studies 12 (1999) 5, pp. 937-974
Persistent link: https://www.econbiz.de/10001434627
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On portfolio optimization : forecasting covariances and choosing the risk model
Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - 1999
Persistent link: https://www.econbiz.de/10001378371
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How crashes develop : intradaily volatility and crash evolution
Bates, David S. - 2016
Persistent link: https://www.econbiz.de/10011451109
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Movements in the term structure of interest rates
Bliss, Robert R. - In: Economic review 82 (1997) 4, pp. 16-33
Persistent link: https://www.econbiz.de/10001234405
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Essays on financial econometrics
Marcucci, Juri - 2005
Persistent link: https://www.econbiz.de/10003384566
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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The empirical relation between credit quality, recovery, and correlation
Rösch, Daniel; Scheule, Harald - 2009
Persistent link: https://www.econbiz.de/10003975032
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A new online-test for changes in correlations between assets
Arnold, Matthias; Bissantz, Nicolai; Wied, Dominik; … - 2010
Persistent link: https://www.econbiz.de/10008839855
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Modelling, estimation and visualization of multivariate dependence for high-frequency data
Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010
Persistent link: https://www.econbiz.de/10003964488