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DCC EGARCH EWMA portfolio modelling range-based covariance forecasting
Number of items: 5.

DCC

Yan, Lili, Kellard, Neil M. and Lambercy, Lyudmyla (2025) Multivariate range-based EGARCH models. International Review of Financial Analysis (IRFA), 100:103983. ISSN 1057-5219 (Print), 1873-8079 (Online) (doi:10.1016/j.irfa.2025.103983)

EGARCH

Yan, Lili, Kellard, Neil M. and Lambercy, Lyudmyla (2025) Multivariate range-based EGARCH models. International Review of Financial Analysis (IRFA), 100:103983. ISSN 1057-5219 (Print), 1873-8079 (Online) (doi:10.1016/j.irfa.2025.103983)

EWMA

Yan, Lili, Kellard, Neil M. and Lambercy, Lyudmyla (2025) Multivariate range-based EGARCH models. International Review of Financial Analysis (IRFA), 100:103983. ISSN 1057-5219 (Print), 1873-8079 (Online) (doi:10.1016/j.irfa.2025.103983)

portfolio modelling

Yan, Lili, Kellard, Neil M. and Lambercy, Lyudmyla (2025) Multivariate range-based EGARCH models. International Review of Financial Analysis (IRFA), 100:103983. ISSN 1057-5219 (Print), 1873-8079 (Online) (doi:10.1016/j.irfa.2025.103983)

range-based covariance forecasting

Yan, Lili, Kellard, Neil M. and Lambercy, Lyudmyla (2025) Multivariate range-based EGARCH models. International Review of Financial Analysis (IRFA), 100:103983. ISSN 1057-5219 (Print), 1873-8079 (Online) (doi:10.1016/j.irfa.2025.103983)

This list was generated on Wed Apr 2 06:41:47 2025 UTC.