A latent dynamic factor approach to forecasting multivariate stock market volatility

von Gribisch, Bastian
Veröffentlicht in Empirical economics (2018)

Modeling and forecasting realized portfolio weights

von Golosnoy, Vasyl
Veröffentlicht in Journal of banking & finance (2022)

Intraday (delta) exposure conditional value at risk : a periodic mixed-frequency generalized autoregressive score approach

von Eckernkemper, Tobias
Veröffentlicht in Eckernkemper, Tobias Distributional modeling of financial systemic risk and income data (2019)

Maximum likelihood estimation for income distributions using grouped data

von Eckernkemper, Tobias
Veröffentlicht in Eckernkemper, Tobias Distributional modeling of financial systemic risk and income data (2019)

Modeling and forecasting of multivariate stock market volatility

von Gribisch, Bastian
Veröffentlicht 2012

Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model

von Gribisch, Bastian
Veröffentlicht in Journal of econometrics (2023)

Exponential smoothing of realized portfolio weights

von Golosnoy, Vasyl
Veröffentlicht in Journal of empirical finance (2019)

The conditional autoregressive Wishart model for multivariate stock market volatility

von Golosnoy, Vasyl
Veröffentlicht in Journal of econometrics (2012)

Intra-daily volatility spillovers in international stock markets

von Golosnoy, Vasyl
Veröffentlicht in Journal of international money and finance (2015)

Factor state-space models for high-dimensional realized covariance matrices of asset returns

von Gribisch, Bastian
Veröffentlicht in Journal of empirical finance (2020)