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Results 1-10 of 41.
Year of PublicationTitleAuthor(s)
2017Regime switching vine copula models for global equity and volatility indices
In: volume: 5, 2017, issue: 1, p. 1-38
Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob
2017A fast algorithm for the computation of HAC covariance matrix estimators
In: volume: 5, 2017, issue: 1, p. 1-16
Heberle, Jochen; Sattarhoff, Cristina
2017The univariate collapsing method for portfolio optimization
In: volume: 5, 2017, issue: 2, p. 1-33
Paolella, Marc S.
2017Bayesian inference for latent factor copulas and application to financial risk forecasting
In: volume: 5, 2017, issue: 2, p. 1-23
Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia
2017Copula-based vMEM specifications versus alternatives: The case of trading activity
In: volume: 5, 2017, issue: 2, p. 1-24
Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M.
2017Copula-based factor models for multivariate asset returns
In: volume: 5, 2017, issue: 2, p. 1-24
Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz
2017Maximum likelihood estimation of the I(2) model under linear restrictions
In: volume: 5, 2017, issue: 2, p. 1-20
Doornik, Jurgen A.
2017Selecting the lag length for the MGLS unit root tests with structural change: A warning note for practitioners based on simulations
In: volume: 5, 2017, issue: 2, p. 1-10
Quineche, Ricardo; Rodríguez, Gabriel
2017A simple test for causality in volatility
In: volume: 5, 2017, issue: 1, p. 1-5
Chang, Chia-Lin; McAleer, Michael
2017Unit roots and structural breaks
In: volume: 5, 2017, issue: 2, p. 1-3
Perron, Pierre