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Number of items: 3.

Engle, Robert F; Ledoit, Olivier; Wolf, Michael (2019). Large dynamic covariance matrices. Journal of Business and Economic Statistics, 37(2):363-375.

Engle, Robert F; Ledoit, Olivier; Wolf, Michael (2017). Large dynamic covariance matrices. Working paper series / Department of Economics 231, University of Zurich.

Barone-Adesi, Giovanni; Engle, Robert F; Mancini, Loriano (2008). A GARCH option pricing model with filtered historical simulation. Review of Financial Studies, 21(3):1223-1258.

This list was generated on Fri Aug 23 17:58:17 2019 CEST.