Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
- Location
-
Deutsche Nationalbibliothek Frankfurt am Main
- Extent
-
Online-Ressource
- Language
-
Englisch
- Bibliographic citation
-
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit ; No. 2906
- Keyword
-
Europäische Union
Devisentermingeschäft
Währungsswap
Financial Futures
Forward-Kontrakt
Volatilität
Korrelation
Multivariate Analyse
Wahrscheinlichkeitsverteilung
Vektor-autoregressives Modell
Theorie
Schätzung
- URN
-
urn:nbn:de:101:1-2009100634
- Rights
-
Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
14.08.2025, 10:59 AM CEST
Data provider
This object is provided by:
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Pesaran, Bahram
- IZA
Time of origin
- 2007
Other Objects (12)
Heterogeneous impacts of conditional cash transfers: evidence from Nicaragua
Large panels with common factors and spatial correlations
College education and wages in the U.K. : estimating conditional average structural functions in nonadditive models with binary endogenous variables
Family background and income during the rise of the welfare state : brother correlations in income for Swedish men born 1932 - 1968
On the multivariate analysis of the "Lisbon process"
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Causal effects of monetary shocks: semiparametric conditional independence tests with a multinomial propensity score
Understanding Dynamic Conditional Correlations between Commodities Futures Markets
Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
Zur Situtation Behinderter in Zimbabwe
Heterogeneous impacts of conditional cash transfers: evidence from Nicaragua
Large panels with common factors and spatial correlations
College education and wages in the U.K. : estimating conditional average structural functions in nonadditive models with binary endogenous variables
Family background and income during the rise of the welfare state : brother correlations in income for Swedish men born 1932 - 1968
On the multivariate analysis of the "Lisbon process"
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Causal effects of monetary shocks: semiparametric conditional independence tests with a multinomial propensity score
Understanding Dynamic Conditional Correlations between Commodities Futures Markets
Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
Zur Situtation Behinderter in Zimbabwe
Heterogeneous impacts of conditional cash transfers: evidence from Nicaragua
Large panels with common factors and spatial correlations
College education and wages in the U.K. : estimating conditional average structural functions in nonadditive models with binary endogenous variables
Family background and income during the rise of the welfare state : brother correlations in income for Swedish men born 1932 - 1968
On the multivariate analysis of the "Lisbon process"
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Causal effects of monetary shocks: semiparametric conditional independence tests with a multinomial propensity score
Understanding Dynamic Conditional Correlations between Commodities Futures Markets
Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets