Pages that link to "Item:Q1604080"

The following pages link to Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns (Q1604080):

Displaying 18 items.

• Hedge fund systemic risk signals (Q299896) (← links)
• Forecasting conditional correlations in stock, bond and foreign exchange markets (Q834304) (← links)
• Common volatility and correlation clustering in asset returns (Q884052) (← links)
• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets (Q1010560) (← links)
• Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model (Q1037795) (← links)
• Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks (Q1623507) (← links)
• A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection (Q1659170) (← links)
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics (Q2171628) (← links)
• Forecasting the volatility of crude oil futures using intraday data (Q2256329) (← links)
• Modeling tick-by-tick realized correlations (Q2445693) (← links)
• Sequential conditional correlations: inference and evaluation (Q2630121) (← links)
• The times change: multivariate subordination. Empirical facts (Q2893067) (← links)
• Efficient factor GARCH models and factor-DCC models (Q3182650) (← links)
• How does the choice of Value-at-Risk estimator influence asset allocation decisions? (Q4619539) (← links)
• Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions (Q5128581) (← links)
• Multivariate Stochastic Volatility: A Review (Q5485102) (← links)
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (Q5485109) (← links)
• Computational finance: correlation, volatility, and markets (Q6604414) (← links)