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A multivariate long-memory model with structural breaks

Caporale, Guglielmo Maria (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428263

A Multivariate Integer Count Hurdle model : theory and application to exchange rate dynamics

Korycka-Bień, Katarzyna (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003449930

Panel intensity models with latent factors : an application to the trading dynamics on the foreign exchange market

Nolte, Ingmar (contributor); Voev, Valeri (contributor) - 2007

behavioral biases and discuss implications for portfolio theory. -- Trading Activity Datasets ; Panel Intensity Models ; Latent …

Persistent link: https://www.econbiz.de/10003449935

An inflated Multivariate Integer Count Hurdle model : an application to bid and ask quote dynamics

Korycka-Bień, Katarzyna (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003449949

Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 135 (2006) 1/2, pp. 125-154

Persistent link: https://www.econbiz.de/10003376080

Modeling international financial returns with a multivariate regime-switching copula

Chollete, Lorán; Heinen, Andréas; Valdesogo, Alfonso - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 437-480

Persistent link: https://www.econbiz.de/10003907528

A latent factor model of multivariate conditional heteroscedasticity

Aguilar, Mike - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 481-503

Persistent link: https://www.econbiz.de/10003907529

Special issue on "Multivariate volatility models"

Garcia, René (contributor); Ghysels, Eric (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003907531

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Persistent link: https://www.econbiz.de/10003909174

Business cycle analysis with multivariate Markov switching models

Anas, Jacques; Billio, Monica; Ferrara, Laurent; Lo … - 2007

Persistent link: https://www.econbiz.de/10003912305