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Wavelet transforms and commodity prices
Connor, Jeff (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10003283108
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Structural dynamic conditional correlation
Weber, Enzo - 2008
structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …
Persistent link: https://www.econbiz.de/10003796131
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Structural conditional correlation
Weber, Enzo - 2009
Persistent link: https://www.econbiz.de/10003908252
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Structural conditional correlation
Weber, Enzo - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 392-407
Persistent link: https://www.econbiz.de/10003997412
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Forecasting covariance matrices : a mixed frequency approach
Halbleib, Roxana; Voev, Valeri - 2011
Persistent link: https://www.econbiz.de/10008807445
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Essays on financial econometrics
Marcucci, Juri - 2005
Persistent link: https://www.econbiz.de/10003384566
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Influence functions of the Spearman and Kendall correlation measures
Croux, Christophe; Dehon, Catherine - 2010
Persistent link: https://www.econbiz.de/10003985653
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Potential PCA interpretation problems for volatility smile dynamics
Reiswich, Dimitri; Tompkins, Robert G. - 2009
Persistent link: https://www.econbiz.de/10003858887
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Nonlinear shrinkage estimation of large-dimensional covariance matrices
Ledoit, Olivier; Wolf, Michael - 2010
Persistent link: https://www.econbiz.de/10008988598
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Estimating covariation : Epps effect, microstructure noise
Zhang, Lan - In: Journal of econometrics 160 (2011) 1, pp. 33-47
Persistent link: https://www.econbiz.de/10009242560