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Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
16 references·7 citing·26 second hop
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models (2009)Do We Really Need Both BEKK and DCC? A Ta…GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION (2008)GENERALIZED AUTOREGRESSIVE CO…A generalized Dynamic Conditional Correlation model for portfolio risk evaluation (2008)A generalized Dynamic Conditi…Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation (2006)Flexible Dynamic Conditional …Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)AUTOMATED INFERENCE AND LEARN…Asymptotic theory for multivariate GARCH processes (2003)Asymptotic theory for multiva…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Conditional Heteroscedastic Time Series Models (1987)Conditional Heteroscedastic T…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Spillover effects and dynamic correlations between spot and forward tanker freight markets (2014)Spillover effects and dynamic…Israeli-Hezbollah War and Global Financial Crisis in the Middle East and North African Equity Markets (2014)Israeli-Hezbollah War and Glo…AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES* (2012)AGGREGATION, HETEROGENEOUS AU…Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? (2010)Has the Basel II Accord Encou…Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models (2010)Do We Really Need Both BEKK a…Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH (2010)Crude Oil Hedging Strategies …Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns (2010)Conditional Correlations and …ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)The Econometrics of Financial Markets (1997)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)Time Series Analysis: Forecasting and Control (1977)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The Cross‐Section of Volatility and Expected Returns (2006)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Modelling Nonlinear Economic Time Series (2010)On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)
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172 cited
  • 2008A generalized Dynamic Conditional Correlation model for portfolio risk evaluation77 cited
  • Cited by

    • 2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models39 cited
    • 2012AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES*37 cited
    • 2014Spillover effects and dynamic correlations between spot and forward tanker freight markets33 cited
    • 2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH30 cited
    • 2010Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns25 cited
    • 2010Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?24 cited
    • 2014Israeli-Hezbollah War and Global Financial Crisis in the Middle East and North African Equity Markets20 cited