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A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics · Study

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PreprintA Model for Multivariate Non-Negative Valued Processes in Financial Econometrics

Fabrizio Cipollini2009

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Preprintgreen2009

A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics

Fabrizio Cipollini · Robert F. Engle · Giampiero Maria Gallo

36 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1999An Introduction to Copulas 2003Modeling and Forecasting Realized Volatility 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2004Copula Methods in Finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2006Quantitative Risk Management: Concepts, Techniques, and Tools

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Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1333869

openalex_workW1546131222

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