Alexander Ristig

Affiliation not provided to SSRN
SCHOLARLY PAPERS

2

DOWNLOADS

101

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series

SFB 649 Discussion Paper No. 2012-054
Number of pages: 16 Posted: 25 Aug 2013
Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - School of Business and Economics and affiliation not provided to SSRN
Downloads 66 (340,128)

Abstract:

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vector multiplicative error model, copula, time-varying copula, high-frequency data

2.

Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models

Number of pages: 32 Posted: 01 Oct 2014
Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - School of Business and Economics and affiliation not provided to SSRN
Downloads 35 (445,318)
Citation 1

Abstract:

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Multi-Step estimation, Sparse estimation, Multivariate time series, Maximum likelihood estimation, Copula