128 Academia Road, Section 2
CARR, DCC, GARCH, High/low range, realized volatility, multivariate volatility, volatility
Asset allocation, CARR, DCC, Economic value, Range, Volatility timing
Expected shortfall, Forecast, Realized variance measure, Semiparametric estimation, Value-at-risk
Approximate factor model, Macroeconomic forecast, Multivariate time series, Outlier, Principal component analysis
Approximate Factor Model, PCA, Norm Penalty, Common Factor, Idiosyncratic Risk, VaR
Risk Contagion; CoVaR; Liquidity Risk; Credit Risk; Financial Crisis
Range, Volatility forecasting, Dynamic conditional correlation, Smooth transition, Copula, Realized volatility, Risk management.
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