Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Siem Jan Koopman"'
Publikováno v:
Journal of Financial Econometrics, 17(1), 1-32. Oxford University Press
Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized wishart-garch : A score-driven multi-Asset volatility model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007
Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized Wishart-GARCH : A Score-driven Multi-Asset Volatility Model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007
Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized wishart-garch : A score-driven multi-Asset volatility model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007
Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized Wishart-GARCH : A Score-driven Multi-Asset Volatility Model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007
We propose a novel multivariate GARCH model that incorporates realized measures for the covariance matrix of returns. The joint formulation of a multivariate dynamic model for outer-products of returns, realized variances, and realized covariances le
Publikováno v:
Janus, P, Koopman, S J & Lucas, A 2014, ' Long memory dynamics for multivariate dependence under heavy tails ', Journal of Empirical Finance, vol. 29, no. December, pp. 187-206 . https://doi.org/10.1016/j.jempfin.2014.09.007
Journal of Empirical Finance, 29(December), 187-206. Elsevier
Janus, P, Koopman, S J & Lucas, A 2014, ' Long memory dynamics for multivariate dependence under heavy tails ', Journal of Empirical Finance, vol. 29, pp. 187-206 . https://doi.org/10.1016/j.jempfin.2014.09.007
Journal of Empirical Finance, 29(December), 187-206. Elsevier
Janus, P, Koopman, S J & Lucas, A 2014, ' Long memory dynamics for multivariate dependence under heavy tails ', Journal of Empirical Finance, vol. 29, pp. 187-206 . https://doi.org/10.1016/j.jempfin.2014.09.007
This discussion paper led to a publication in the Journal of Empirical Finance , 2014, 29, 187-206. We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed den