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Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
Rosenow, Bernd - In: Journal of economic dynamics & control 32 (2008) 1, pp. 279-302
Persistent link: https://www.econbiz.de/10003622775
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Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 195 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012509995
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Dynamic principal component CAW models for high-dimensional realized covariance matrices
Gribisch, Bastian; Stollenwerk, Michael - In: Quantitative finance 20 (2020) 5, pp. 799-821
Persistent link: https://www.econbiz.de/10012262622
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Die Messung von Risiken in makroökonomischen Variablen
Seppelfricke, Peter - 1995
Persistent link: https://www.econbiz.de/10000549303
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Statistical methods in finance
Maddala, Gangadharrao S. (contributor);  … - 1996
Persistent link: https://www.econbiz.de/10000610528
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Forecasting volatility in the financial markets
Knight, John L. (contributor); Satchell, Stephen (contributor) - 1998
Persistent link: https://www.econbiz.de/10000666770
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An agent-based stochastic volatility model
Alfarano, Simone - 2006
Persistent link: https://www.econbiz.de/10003307294
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Modeling high dimensional time series for factors driving volatility strings
Mungo, Julius - 2009
Persistent link: https://www.econbiz.de/10003835521