Soka University - Faculty of Economics
in Total Papers Downloads
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Dynamic conditional correlations, Wishart distribution, asymmetry, GJR, exponential GARCH, BEKK, heavy tails
Asymmetry, leverage, realized volatility, integrated volatility, measurement errors, forecasts
realized volatility, diffusion, financial econometrics, measurement errors, forecasting, model evaluation, goodness-of-fit
Stochastic volatility, leverage, size effects, asymmetry, GJR, EGARCH, efficient importance sampling
block structures; multivariate stochastic volatility; curse of dimensionality
Covariance prediction, Dynamic correlation, Nonlinear time series, Long memory, Stochastic covariance filter, Threshold models
Dynamic correlations, Long Memory, Range, Leverage effects, Multivariate GARCH
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