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Quasi-maximum likelihood estimation of dynamic models with time varying covariances
6 references·16 citing·43 second hopsampled
Quasi-maximum likelihood estimation of dynamic models with time varying covariances (1988)Quasi-maximum likelihood estimation of dy…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Heteroskedasticity in Stock Returns (1989)Heteroskedasticity in Stock R…The econometric analysis of models with risk terms (1988)The econometric analysis of m…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …ARMA MODELS WITH ARCH ERRORS (1984)ARMA MODELS WITH ARCH ERRORSEconomic spillovers between related derivatives markets: The case of commodity and freight markets (2014)Economic spillovers between r…Modeling and forecasting the volatility of petroleum futures prices (2012)Modeling and forecasting the …Price discovery and investor structure in stock index futures (2010)Price discovery and investor …Memory properties and fractional integration in transportation time-series (2009)Memory properties and fractio…The Lead‐Lag Relationship Between Cash and Stock Index Futures in a New Market (2007)The Lead‐Lag Relationship Bet…Estimation of an adaptive stock market model with heterogeneous agents (2007)Estimation of an adaptive sto…Over-the-counter forward contracts and spot price volatility in shipping (2003)Over-the-counter forward cont…Market interactions in returns and volatilities between spot and forward shipping freight markets (2003)Market interactions in return…Recovering the probability density function of asset prices using garch as diffusion approximations (2001)Recovering the probability de…Forecasting daily exchange rate volatility using intraday returns (2001)Forecasting daily exchange ra…Are oil markets chaotic? A non-linear dynamic analysis (2000)Are oil markets chaotic? A no…Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks (1999)Time-Varying Betas and Asymme…Stochastic trends and jumps in EMS exchange rates (1994)Stochastic trends and jumps i…Expected Returns, Time-Varying Risk, and Risk Premia (1994)Expected Returns, Time-Varyin…Adaptive Estimation in ARCH Models (1993)Adaptive Estimation in ARCH M…Alternative estimators for factor garch models—A monte carlo comparison (1992)Alternative estimators for fa…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient estimation in semiparametric GARCH models (1997)Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 (2005)Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods (2013)Interest rates and currency prices in a two-country world (1982)Forward and spot exchange rates (1984)The statistical properties of daily foreign exchange rates: 1974–1983 (1988)Nonparametric exchange rate prediction? (1990)A test for volatility spillover with application to exchange rates (2001)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Time Series Analysis: Forecasting and Control (1977)Specification Tests in Econometrics (1978)Conditional Heteroscedastic Time Series Models (1987)ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS (1988)On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity (1997)Comparing Predictive Accuracy (1994)Extreme dependence and risk spillovers between oil and Islamic stock markets (2017)Oil financialization and volatility forecast: Evidence from multidimensional predictors (2019)Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss (2020)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Dynamic Conditional Correlation (2002)Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis (2017)BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness (2019)The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Small Sample Bias in GMM Estimation of Covariance Structures (1994)An evaluation of volatility forecasting techniques (1996)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Forecasting spot and forward prices in the international freight market (2006)A survey of shipping finance research: Setting the future research agenda (2018)Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality (1995)The day of the week effect on stock market volatility (2001)The day of the week effect on stock market volatility and volume: International evidence (2003)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Modelling the persistence of conditional variances2,068 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 1988The econometric analysis of models with risk terms343 cited
  • 1984ARMA MODELS WITH ARCH ERRORS282 cited

Cited by

  • 2003Market interactions in returns and volatilities between spot and forward shipping freight markets161 cited
  • 1993Adaptive Estimation in ARCH Models141 cited
  • 2010Price discovery and investor structure in stock index futures122 cited
  • 2012Modeling and forecasting the volatility of petroleum futures prices121 cited
  • 2000Are oil markets chaotic? A non-linear dynamic analysis119 cited
  • 2009Memory properties and fractional integration in transportation time-series112 cited
  • 1994Expected Returns, Time-Varying Risk, and Risk Premia109 cited
  • 2001Forecasting daily exchange rate volatility using intraday returns108 cited
  • 1992Alternative estimators for factor garch models—A monte carlo comparison103 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2001Recovering the probability density function of asset prices using garch as diffusion approximations97 cited
  • 2014Economic spillovers between related derivatives markets: The case of commodity and freight markets97 cited
  • 2007Estimation of an adaptive stock market model with heterogeneous agents92 cited
  • 2007The Lead‐Lag Relationship Between Cash and Stock Index Futures in a New Market90 cited
  • 1999Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks86 cited
  • 1994Stochastic trends and jumps in EMS exchange rates84 cited
  • 2003Over-the-counter forward contracts and spot price volatility in shipping84 cited