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Bayesian analysis of latent threshold dynamic models

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Flexible dynamic consitional correlation multivariate GARCH models for asset allocation

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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20

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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection

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Modeling price volatility linkages between corn and wheat : a multivariate GARCH estimation

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Multivariate Volatility Estimation with High Frequency Data Using Fourier Method

Mancino, Maria Elvira - 2013

Availability of high frequency data has improved the capability of computing volatility in an efficient way …. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed … multivariate volatility, with particular focus on using high frequency data. Exploiting the fact that the method allows to compute …

Persistent link: https://www.econbiz.de/10013084255