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A Multivariate Generalized Orthogonal Factor GARCH Model

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Cited by

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2008Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer.115 cited
2019Multivariate GARCH models98 cited
2008Multivariate GARCH Models72 cited
n.d.Has the Business Cycle Changed and Why?69 cited
2015Estimating Multivariate Volatility Models Equation by Equation54 cited
2016

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Structural vector autoregressions with heteroskedasticity: A review of different volatility models

54 cited

2010Method of moments estimation of GO-GARCH models51 cited

2009Efficient factor GARCH models and factor-DCC models50 cited

2013Multivariate rotated ARCH models50 cited

2009ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL46 cited

2012Robust ranking of multivariate GARCH models by problem dimension44 cited

2020Identification of Structural Vector Autoregressions by Stochastic Volatility44 cited

2016Testing for identification in SVAR-GARCH models38 cited

2015Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance38 cited

2011A conditionally heteroskedastic independent factor model with an application to financial stock returns37 cited