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1Academic Journal
المساهمون: Department of Applied Mathematics
مصطلحات موضوعية: Multivariate volatility models, Risk management to future markets, Generalized autoregressive conditional heteroscedastic modeling, Model averaging techniques
Relation: http://hdl.handle.net/10397/98632; 116; 127; 20; 2-s2.0-85042416470; AMA-0435
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2Book
المؤلفون: Gianluca Cubadda, Alain Hecq
المساهمون: Cubadda, G, Hecq, A
مصطلحات موضوعية: Reduced rank regression, common feature, vector autoregressive model, multivariate volatility models, dimension reduction, Settore SECS-S/03 - STATISTICA ECONOMICA
Relation: info:eu-repo/semantics/altIdentifier/isbn/9780190625979; ispartofbook:Oxford Research Encyclopedia of Economics and Finance; http://hdl.handle.net/2108/296967; https://doi.org/10.1093/acrefore/9780190625979.013.677
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3Book
المؤلفون: Baur, Dirk
المصدر: Econometric Analysis of Financial and Economic Time Series
URL الوصول: http://www.emeraldinsight.com/doi/10.1016/S0731-9053(05)20001-4
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4Academic Journal
المؤلفون: Emerson F. Marçal, Pedro L. Valls Pereira, Escola Economia, São Paulo, Fundação Getulio, Vargas Fgv-eesp, Emerson Fernandes Marçal
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Contagion, Multivariate Volatility Models JEL Codes, G15, C32
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.484.7985; http://mpra.ub.uni-muenchen.de/15623/1/MPRA_paper_15623.pdf
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5Academic Journal
المؤلفون: Marçal, Emerson Fernandes, Pereira, Pedro L. Valls
المصدر: Periódicos científicos e revistas FGV
مصطلحات موضوعية: Contagion, Multivariate volatility models, Economia, Mercado financeiro - Modelos econométricos, Crise financeira
وصف الملف: application/pdf
Relation: Brazilian Review of Econometrics; http://hdl.handle.net/10438/27133; 1511
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6Academic Journal
المؤلفون: Julien Idier
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Multivariate volatility models, Markov switching multifractal model, transmission, comovements
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7
المؤلفون: Valeriya Lakshina
المصدر: Scopus-Elsevier
مصطلحات موضوعية: jel:G17, jel:C51, jel:C01, multivariate volatility models, curse of dimensionality, weight matrix, spatial autoregression, forecasting, jel:C58
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8
المؤلفون: Habrov, Vladimir
المصدر: Applied Econometrics. 28(4):35-62
مصطلحات موضوعية: jel:G17, Computer Science::Computational Engineering, Finance, and Science, portfolio theory, vector autoregression model, multivariate volatility models, quadratic programming, jel:C61, jel:C01, Statistics::Other Statistics, jel:C58, jel:G11
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9Academic Journal
المؤلفون: Rotta, Pedro Nielsen, Pereira, Pedro L. Valls
المساهمون: FGV
المصدر: Web of Science
مصطلحات موضوعية: Contagion, Multivariate volatility models, Markovian switching regime, GARCH-GJR-t, Economia, Modelos econométricos, Markov, Processos de
وصف الملف: p. 2367-2382; application/pdf
Relation: Applied economics; http://dx.doi.org/10.1080/00036846.2015.1119794; http://hdl.handle.net/10438/23574; 000372791700006
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10Book
المؤلفون: STORTI, Giuseppe, Luc Bauwens
المساهمون: AA.VV., Grigoletto Matteo, Lisi Francesco, Petrone Sonia, Storti, Giuseppe, Luc, Bauwens
مصطلحات موضوعية: Realized Covariance Matrice, Composite Likelihood Estimation, Multivariate Volatility Models
وصف الملف: STAMPA
Relation: info:eu-repo/semantics/altIdentifier/isbn/9788847028708; ispartofbook:Complex Models and Computational Methods in Statistics; firstpage:37; lastpage:49; numberofpages:13; serie:CONTRIBUTIONS TO STATISTICS; alleditors:Grigoletto Matteo; Lisi Francesco; Petrone Sonia; http://hdl.handle.net/11386/3878569
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11Dissertation/ Thesis
المؤلفون: Andersson, Markus
مصطلحات موضوعية: Multivariate Financial Time Series, Multivariate Volatility Models, Modern Portfolio Theory (MPT), Tactical Asset Allocation (TAA), Multivariata finansiella tidsserier, Multivariata volatilitets modeller, Modern portföljteori (MPT), Taktisk tillgångsallokering (TAA), Probability Theory and Statistics, Sannolikhetsteori och statistik
وصف الملف: application/pdf
Relation: TRITA-MAT-E ; 2015:72
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12
المؤلفون: Andersson, Markus
مصطلحات موضوعية: Multivariate Volatility Models, Tactical Asset Allocation (TAA), Modern portföljteori (MPT), Multivariata finansiella tidsserier, Sannolikhetsteori och statistik, Probability Theory and Statistics, Multivariate Financial Time Series, Modern Portfolio Theory (MPT), Multivariata volatilitets modeller, Taktisk tillgångsallokering (TAA)
وصف الملف: application/pdf
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13Dissertation/ Thesis
المؤلفون: Andersson, Markus
مصطلحات موضوعية: Multivariate Financial Time Series, Multivariate Volatility Models, Modern Portfolio Theory (MPT), Tactical Asset Allocation (TAA), Multivariata finansiella tidsserier, Multivariata volatilitets modeller, Modern portföljteori (MPT), Taktisk tillgångsallokering (TAA), Probability Theory and Statistics, Sannolikhetsteori och statistik
وصف الملف: application/pdf
Relation: TRITA-MAT-E; 2015:72
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14
المؤلفون: Alessia NACCARATO, Pierini, A.
المساهمون: Naccarato, Alessia, Pierini, A.
المصدر: Scopus-Elsevier
Investment Management & Financial Innovations, Vol 11, Iss 3 (2014)مصطلحات موضوعية: Markowitz portfolio, cointegrated vector autoregressive models, multivariate volatility models, lcsh:Finance, lcsh:HG1-9999
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15Academic Journal
المؤلفون: SU, Liangjun, ULLAH, Aman, MISHRA, Santosh, WANG, Yun
المصدر: Research Collection School Of Economics
مصطلحات موضوعية: nonparametric semiparametric volatility models, nonparametric semiparametric multivariate volatility models, error density specification, Econometrics
Relation: https://ink.library.smu.edu.sg/soe_research/1366; https://search.library.smu.edu.sg/primo-explore/fulldisplay?docid=TN_wilbooks10.1002/9781118272039.ch11&context=PC&vid=SMU_NUI&search_scope=Everything&tab=default_tab&lang=en_US
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16Dissertation/ Thesis
المؤلفون: Rotta, Pedro Nielsen
Thesis Advisors: Fernandes, Marcelo, Marçal, Emerson Fernandes, Escolas::EESP, Pereira, Pedro L. Valls
المصدر: Repositório Institucional do FGVFundação Getulio VargasFGV.
مصطلحات موضوعية: Contágio financeiro, Modelos de volatilidade multivariados, Modelo de mudança de regime de Markov, Financial contagion, Multivariate volatility models, Markov switching model, Economia, Mercado financeiro - Modelos econométricos, Markov, Processos de, Bolsa de valores, Crise financeira
الاتاحة: http://hdl.handle.net/10438/10402
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17
المؤلفون: Giuseppe Storti, Luc Bauwens
المصدر: Contributions to Statistics ISBN: 9788847028708
مصطلحات موضوعية: Composite Likelihood Estimation, Wishart distribution, covariance targeting, Mathematical optimization, BEKK model, Realized Covariance Matrices, Multivariate Volatility Models, Keywords: realized covariance, CAW model, BEKK model, composite likelihood, covariance targeting, Wishart distribution, Scalar (mathematics), Monte Carlo method, Estimator, Inference, Keywords: realized covariance, composite likelihood, Covariance, CAW model, Estimation of covariance matrices, Autoregressive model, Algorithm, Mathematics
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18
المؤلفون: Carlos A. Reyes
مصطلحات موضوعية: credit risk, DCC, finance, multivariate volatility models, jel:G01, jel:C58, jel:G32
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19
المؤلفون: Pereira, Pedro L. Valls
المساهمون: Escolas::EESP
المصدر: Repositório Institucional do FGV (FGV Repositório Digital)
Fundação Getulio Vargas (FGV)
instacron:FGVمصطلحات موضوعية: Contagion, Multivariate volatility models, Crise financeira, Economia, Finanças - Modelos matemáticos
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20
المؤلفون: Emerson Fernandes Marçal, Pedro L. Valls Pereira
مصطلحات موضوعية: Multivariate volatility, General Computer Science, jel:G15, Financial economics, Bond, Structural break, Economics, Econometrics, jel:C32, Volatility (finance), Sovereign debt, Contagion, Multivariate Volatility Models
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