Modelling Realized Covariances
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- Stahl, Gerhard & Wang, Shaohui & Wendt, Markus, 2011. "Validate Correlation of an ESG: Treasury Yields across," Hannover Economic Papers (HEP) dp-476, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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"The conditional autoregressive Wishart model for multivariate stock market volatility,"
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- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013.
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Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.),Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220,
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- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
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More about this item
Keywordseigenvalues; dynamic conditional correlation; predictive likelihoods; MCMC;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2009-11-14 (Econometrics)
- NEP-ETS-2009-11-14 (Econometric Time Series)
- NEP-FOR-2009-11-14 (Forecasting)
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