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المؤلفون: Diaa Noureldin, Neil Shephard, Kevin Sheppard
مصطلحات موضوعية: RARCH, RCC, Multivariate volatility, Covariance targeting, Common persistence, Empirical Bayes, Predictive likelihood, Economics and Econometrics, Multivariate statistics, Covariance function, jel:C52, Applied Mathematics, Identity matrix, Structure (category theory), Inference, Arch models, Extension (predicate logic), jel:C32, Covariance, jel:C58, Multivariate volatility, Estimation of covariance matrices, Econometrics, Applied mathematics, Arch, RARCH, RCC, multivariate volatility, covariance targeting, common persistence, empirical Bayes, predictive likelihood, Mathematics
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bf9c3bfc4831fcc013dc60af988da57c
https://ora.ox.ac.uk/objects/uuid:3ce5270c-f1b7-4302-bdc1-3df0d0cf53a5 -
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المؤلفون: Lumengo Bonga-Bonga
المصدر: The Quarterly Review of Economics and Finance. 67:36-44
مصطلحات موضوعية: Economics and Econometrics, 050208 finance, Liberalization, Financial economics, 05 social sciences, Equity (finance), International economics, jel:F36, jel:C58, contagion, BRICS, VAR-DCC-GARCH, Multivariate garch model, jel:G15, 0502 economics and business, Economics, 050207 economics, China, Capital market, Finance
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المؤلفون: Dongho Song, Amir Yaron, Frank Schorfheide
المصدر: Econometrica. 86:617-654
مصطلحات موضوعية: Economics and Econometrics, 050208 finance, 0502 economics and business, 05 social sciences, jel:E44, jel:C32, jel:C11, 050207 economics, jel:G12, Nonlinear theories, Dividends, Consumption (Economics), Bayesian statistical decision theory, jel:C58
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المؤلفون: Efstathios Avdis, Jessica A. Wachter
المصدر: Journal of Financial Economics. 125:589-609
مصطلحات موضوعية: 040101 forestry, Economics and Econometrics, 050208 finance, Strategy and Management, Equity premium puzzle, 05 social sciences, Estimator, Sample (statistics), jel:C32, 04 agricultural and veterinary sciences, jel:G12, jel:C58, jel:G11, Investment decisions, Accounting, 0502 economics and business, Econometrics, Economics, Range (statistics), 0401 agriculture, forestry, and fisheries, Dividend, Expected return, Stock market, Finance
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المؤلفون: Rasmus Søndergaard Pedersen
المصدر: Journal of Econometrics. 196:23-36
مصطلحات موضوعية: Economics and Econometrics, Applied Mathematics, Autoregressive conditional heteroskedasticity, 05 social sciences, Boundary problem, jel:C51, Inference, Boundary (topology), jel:C32, Parameter space, 01 natural sciences, jel:C58, ECCC-GARCH, QML, boundary, spillovers, Correlation, 010104 statistics & probability, 0502 economics and business, Econometrics, Applied mathematics, Foreign exchange, 0101 mathematics, Volatility (finance), Constant (mathematics), 050205 econometrics, Mathematics
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المؤلفون: David E. Allen, Abhay K. Singh, Robert Powell, Michael McAleer
المساهمون: Allen, David E, McAleer, Michael, Powell, Robert, Singh, Abhay K
المصدر: International Review of Economics & Finance. 47:159-175
مصطلحات موضوعية: Economics and Econometrics, 050208 finance, Financial economics, Autoregressive conditional heteroskedasticity, 05 social sciences, Volatility Spillover Index, VAR analysis, Variance Decomposition, Cholesky-GARCH, Volatility spillover, Chinese market, VAR analysis, volatility spillover index, jel:G12, jel:C58, Spillover effect, 0502 economics and business, 8. Economic growth, Financial crisis, Variance decomposition of forecast errors, Economics, cholesky-GARCH, 050207 economics, Volatility (finance), China, variance decomposition, Finance
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المؤلفون: Lorenzo Camponovo, Constantin Roth, Francesco Audrino
المصدر: Quantitative Finance and Economics, Vol 1, Iss 4, Pp 363-387 (2017)
مصطلحات موضوعية: adaptive lasso, jel:C63, Realized variance, Lag, Inference, Feature selection, 01 natural sciences, realized volatility, 010104 statistics & probability, Lasso (statistics), lcsh:Finance, lcsh:HG1-9999, 0502 economics and business, Economics, Econometrics, lag structure, Realized volatility, Adaptive lasso, HAR model, Test for false positives, Lag structure, 0101 mathematics, test for false positives, 050205 econometrics, Mathematics, Estimation theory, lcsh:T57-57.97, 05 social sciences, jel:C12, General Medicine, Stock market index, jel:C58, Autoregressive model, lcsh:Applied mathematics. Quantitative methods, Volatility (finance)
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::922bb6394245c6fa119d32e43a8767e1
https://doi.org/10.3934/qfe.2017.4.363 -
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المؤلفون: Marc Gronwald
المصدر: Energy Economics. 60:1-5
مصطلحات موضوعية: jel:D81, Economics and Econometrics, Explosive material, oil prices, explosiveness, uncertainty, real options, climate change, speculative demand shocks, 020209 energy, 05 social sciences, jel:C12, Climate change, 02 engineering and technology, Monetary economics, jel:C58, General Energy, 0502 economics and business, jel:Q30, 0202 electrical engineering, electronic engineering, information engineering, Economics, Unit root, 050207 economics, Oil price, Speculation
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المؤلفون: Helder Sebastião, Rui Pedro Brito, Pedro Godinho
المصدر: Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAPمصطلحات موضوعية: multiobjective optimisation, Information Systems and Management, jel:C63, Financial economics, Strategy and Management, jel:C61, skewness, Asset allocation, jel:C44, jel:C88, 0502 economics and business, Econometrics, Economics, derivative-free optimisation, 050207 economics, Business and International Management, semivariance, 050208 finance, Sharpe ratio, 05 social sciences, Semivariance, Pareto principle, Sortino ratio, jel:C58, jel:G11, Expected shortfall, Skewness, portfolio selection, Standard normal table, portfolio selection, semivariance, skewness, multiobjective optimization, derivative-free optimization, direct multisearch