Narrow search
Showing 1 - 10 of 911,784
Cover Image
Extreme downside risk and financial crises
Harris, Richard D. F.; Nguyen, Linh H.; Stoja, Evarist - 2015
Persistent link: https://www.econbiz.de/10011402719
Cover Image
Realized semicovariances : empirical applications to volatility forecasting and portfolio optimization
Ricco, Rafael; Ziegelmann, Flávio A. - In: Revista Brasileira de Finanças : RBFin 21 (2023) 3, pp. 99-122
Persistent link: https://www.econbiz.de/10014442583
Cover Image
Identification and forecasting of bull and bear markets using multivariate returns
Liu, Jia; Maheu, John M.; Song, Yong - In: Journal of applied econometrics 39 (2024) 5, pp. 723-745
Persistent link: https://www.econbiz.de/10015156772
Cover Image
Multivariate approximations to portfolio return distribution
Mora-Valencia, Andrés; Ñíguez, Trino-Manuel; Perote, … - In: Computational and mathematical organization theory 23 (2017) 3, pp. 347-361
Persistent link: https://www.econbiz.de/10011741979
Cover Image
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - In: Econometric reviews 42 (2023) 6, pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Cover Image
Correlated cashflow shocks, asset prices, and the term structure of equity
Hasler, Michael; Khapko, Mariana - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5560-5577
Persistent link: https://www.econbiz.de/10014392946
Cover Image
Multivariate Wishart stochastic volatility models
Gribisch, Bastian; Liesenfeld, Roman - 2010
Persistent link: https://www.econbiz.de/10008910010
Cover Image
Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations
Yamauchi, Yuta; Omori, Yasuhiro - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 839-855
Persistent link: https://www.econbiz.de/10012313374
Cover Image
Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
Cover Image
Multivariate wishart stochastic volatility and changes in regime
Gribisch, Bastian - 2012
This paper generalizes the basic Wishart multivariate stochastic volatility model of Philipov and Glickman (2006) and … process. The model allows for state-dependent (co)variance and correlation levels and state-dependent volatility spillover …-sample fit and the VaR forecasting performance relative to the basic model. -- Multivariate stochastic volatility ; Dynamic …
Persistent link: https://www.econbiz.de/10009661238