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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

Persistent link: https://www.econbiz.de/10011380135

Multivariate return decomposition : theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015

directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …

Persistent link: https://www.econbiz.de/10011313230

A multivariate volatility vine copula model

Brechmann, E. C.; Heiden, M.; Okhrin, Y. - In: Econometric reviews 37 (2018) 1/5, pp. 281-308

Persistent link: https://www.econbiz.de/10012038690

Multivariate return decomposition : theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolaj - In: Econometric reviews 38 (2019) 5, pp. 487-508

Persistent link: https://www.econbiz.de/10012181325

Forecasting market risk of portfolios: copula-Markov switching multifractal approach

Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143

Persistent link: https://www.econbiz.de/10012258877

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Nonparametric change-point analysis of volatility

Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itô semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...

Persistent link: https://www.econbiz.de/10010477582

The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence

Perron, Pierre; Yamamoto, Yohei - In: Empirical economics : a quarterly journal of the … 62 (2022) 3, pp. 1193-1218

Persistent link: https://www.econbiz.de/10012819527

Power monotonicity in detecting volatility levels change

Xu, Ke-li - In: Economics letters 121 (2013) 1, pp. 64-69

Persistent link: https://www.econbiz.de/10010187087

Modeling volatility and dependence of European carbon and energy prices

Berrisch, Jonathan; Pappert, Sven; Ziel, Florian; … - In: Finance research letters 52 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014471974

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