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An Algorithm for the Multivari...
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Volatility
Schätztheorie
35,931
Estimation theory
35,304
Theorie
14,981
Theory
14,520
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6,584
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6,523
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2,773
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USA
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United States
1,999
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1,890
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1,881
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1,831
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1,798
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1,700
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1,699
Statistical distribution
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Koopman, Siem Jan
27
McAleer, Michael
22
Todorov, Viktor
19
Li, Jia
18
Teräsvirta, Timo
17
Hafner, Christian M.
16
Kumar, Dilip
16
Li, Yingying
15
Diebold, Francis X.
14
Lucas, André
14
Maheswaran, S.
14
Tauchen, George Eugene
14
Brandt, Michael W.
13
Herwartz, Helmut
13
Silvennoinen, Annastiina
13
Andersen, Torben
12
Kim, Donggyu
12
Härdle, Wolfgang
11
Mancino, Maria Elvira
11
Bollerslev, Tim
10
Croux, Christophe
10
Fan, Jianqing
10
Ghysels, Eric
10
Gouriéroux, Christian
10
Liu, Zhi
10
Swanson, Norman R.
10
Bos, Charles S.
9
Clements, Adam
9
Engle, Robert F.
9
Mykland, Per A.
9
Rodriguez, Gabriel
9
Spokojnyj, Vladimir G.
9
Alizadeh, Sassan
8
Asai, Manabu
8
Bauwens, Luc
8
Hurvich, Clifford M.
8
Laurent, Sébastien
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Linton, Oliver
8
Wang, Yazhen
8
Bibinger, Markus
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National Bureau of Economic Research
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Birkbeck College / Department of Economics
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Ekonomiska forskningsinstitutet <Stockholm>
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Rodney L. White Center for Financial Research
3
Banque de France / Direction des Etudes Economiques et de la Recherche
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Queen Mary College / Department of Economics
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School of Economics <Bundoora, Victoria> / Department of Economics
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Springer Fachmedien Wiesbaden
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1
University of Canterbury / Dept. of Economics and Finance
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University of Chicago / Graduate School of Business
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University of Chicago / Graduate School of Business / Department of Economics
1
University of Exeter / Department of Economics
1
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Journal of econometrics
127
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
51
Econometric reviews
38
Discussion paper / Tinbergen Institute
37
Economics letters
27
Journal of empirical finance
25
Economic modelling
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
International journal of forecasting
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
CREATES research paper
16
Journal of banking & finance
16
Quantitative finance
16
Econometric theory
15
Finance research letters
15
International journal of theoretical and applied finance
15
Journal of financial econometrics
15
Journal of forecasting
14
Journal of risk and financial management : JRFM
12
The North American journal of economics and finance : a journal of financial economics studies
12
The econometrics journal
12
Econometrics : open access journal
11
SFB 649 discussion paper
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Applied economics
10
Computational economics
10
Energy economics
10
International journal of economics and financial issues : IJEFI
9
Research in international business and finance
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
The European journal of finance
8
Working papers
8
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
European journal of operational research : EJOR
7
GRIPS discussion papers
7
International Journal of Energy Economics and Policy : IJEEP
7
International review of economics & finance : IREF
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Journal of applied econometrics
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Journal of mathematical finance
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NBER Working Paper
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ECONIS (ZBW)
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1
Special issue: Multivariate stochastic volatility
Maasoumi, Esfandiar
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003355822
Saved in:
2
Multivariate GARCH models
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Handbook of financial time series
,
(pp. 201-229)
.
2009
Persistent link: https://www.econbiz.de/10003833947
Saved in:
3
Multivariate stochastic volatility
Chib, Siddhartha
;
Omori, Yasuhiro
;
Asai, Manabu
- In:
Handbook of financial time series
,
(pp. 365-400)
.
2009
Persistent link: https://www.econbiz.de/10003833972
Saved in:
4
Flexible dynamic consitional correlation multivariate GARCH models for asset allocation
Billio, Monica
(
contributor
);
Gobbo, Michele
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003376752
Saved in:
5
Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.
;
Linton, Oliver
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
Saved in:
6
Estimation of a longitudinal multivariate stochastic volatility model for the analysis of intra-day electricity prices
Smith, Michael S.
(
contributor
);
Cottet, Remy
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003301799
Saved in:
7
The Wishart Autoregressive process of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 167-181
Persistent link: https://www.econbiz.de/10003858506
Saved in:
8
The wishart autoregressive of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
-
2004
Persistent link: https://www.econbiz.de/10002597955
Saved in:
9
Element-by-element estimation of a volatility matrix : an Italian portfolio simulation
Naccarato, Alessia
;
Pierini, Andrea
- In:
Investment management and financial innovations
11
(
2014
)
3
,
pp. 34-43
Persistent link: https://www.econbiz.de/10010512185
Saved in:
10
Modeling price volatility linkages between corn and wheat : a multivariate GARCH estimation
Musunuru, Naveen
- In:
International advances in economic research : IAER ; an …
20
(
2014
)
3
,
pp. 269-280
Persistent link: https://www.econbiz.de/10010532203
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