c/ Madrid 126
Getafe (Madrid), 28903
Spain
Charles III University of Madrid - Department of Statistics and Econometrics
SSRN RANKINGS
in Total Papers Citations
Multivariate GARCH, Convex Optimization, Out-Of-Sample Evaluation
Backtesting, Basel Accords, market risk, composite likelihood, risk management, volatility
GARCH, Minimum variance portfolio, Mean-variance portfolio, Risk-adjusted returns, Stochastic volatility, Turnover-constrained portfolios
Dynamic Nelson-Siegel-Svensson model, Time-varying decay parameter, Term Structure, Extended Kalman filter
ABC filtering, Leverage effect, SV models, Value-at-Risk
Forecast Density, MGARCH, Minimum Variance Portfolio, Outliers, VaR.
Leverage effect, QGARCH, seasonality, structural time series models, unobserved component
Long-memory, Multi-level Dynamic Factor Model, Realized Volatility
EM algorithm, Kalman lter, Principal Components, State-space model
absolute transformation, Box-Ljung text, conditional heteroscedasticity, log-squared transformation, Peña Rodriguez test, squared observations
ARSV, EGARCH, leverage effect, QGARCH
