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Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models

• Authors : Bauwens, Luc; Otranto, Edoardo; UCL - SSH/LIDAM/CORE - Center for operations research and econometrics

Subjects: Dynamic covariances and correlations; Hadamard exponential matrix; realized covariances

• Source: Journal of Financial Econometrics, , p. nbac007 (2022)

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Resampling Procedures with Empirical Beta Copulas

• Authors : Kiriliouk, Anna; Segers, Johan; Tsukahara, Hideatsu ...

Subjects: Bootstrap approximation; Copula; Empirical beta copula

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Nonlinearities and regimes in conditional correlations with different dynamics

• Authors : Bauwens, Luc; Otranto, Edoardo; UCL - SSH/LIDAM/CORE - Center for operations research and econometrics

Subjects: dynamic conditional correlations; regime-switching dynamic correlations; Hadamard exponential matrix

• Source: Journal of Econometrics, Vol. 217, no.2, p. 496-522 (2020)

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The transmission of health across 7 generations in China, 1789–1906

• Authors : Maystadt, Jean-François; Migali, Giuseppe; UCL - SSH/LIDAM/IRES - Institut de recherches économiques et sociales

Subjects: Long-term health outocomes; Intergenerational correlations

• Source: Journal of Health Economics, Vol. 79, p. 102493 (2021)

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DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations

• Authors : Bauwens, Luc; Xu, Yongdeng; UCL - SSH/LIDAM/CORE - Center for operations research and econometrics

Subjects: dynamic conditional correlations; forecastin; multivariate HEAVY

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Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models

• Authors : Bauwens, Luc; Otranto, Edoardo; UCL - SSH/LIDAM/CORE - Center for operations research and econometrics

Subjects: realized covariances; dynamic covariances and correlations; Hadamard exponential matrix

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Nonlinearities and regimes in conditional correlations with different dynamics

• Authors : Bauwens, Luc; Otranto, Edoardo; UCL - SSH/IMMAQ/CORE - Center for operations research and econometrics

Subjects: dynamic conditional correlations; regime-switching dynamic correlations; Hadamard exponential matrix

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STRATUS: a Questionnaire for Strategic Usability Assessment

• Authors : Kieffer, Suzanne; Vanderdonckt, Jean; 31st ACM Symposium on Applied Computing (SAC 2016) ...

Subjects: Strategic usability assessment; usability maturity model; questionnaire

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Multiplicative Conditional Correlation Models for Realized Covariance Matrices

• Authors : Bauwens, Luc; Braione, Manuela; Storti, Giuseppe ...

Subjects: Dynamic conditional correlations; Wishart distribution; Multiplicative models

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Estimation and empirical performance of non-scalar dynamic conditional correlation models

• Authors : Bauwens, Luc; Grigoryeva, Lyudmila; Ortega, Juan-Pablo ...

Subjects: multivariate volatility modeling; dynamic conditional correlations (DCC); non-scalar DCC models

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