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Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings
16 references·7 citing·17 second hop
Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings (2002)Structure and Asymptotic Theory for Multi…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Stationarity and the existence of moments of a family of GARCH processes (2002)Stationarity and the existenc…NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS (2002)NECESSARY AND SUFFICIENT MOME…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects (2019)‘Indian Stock Market Volatili…Modelling the interactions across international stock, bond and foreign exchange markets (2008)Modelling the interactions ac…Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns (2006)Modelling time-varying condit…Modeling dynamic conditional correlations in WTI oil forward and futures returns (2006)Modeling dynamic conditional …Modelling country spillover effects in country risk ratings (2005)Modelling country spillover e…Modelling thresholds and volatility in US ecological patents (2004)Modelling thresholds and vola…Modelling Dynamic Conditional Correlations in Wti Oil Forward and Futures Returns (2004)Modelling Dynamic Conditional…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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modelling the persistence of conditional variances (1986)THE GARCH OPTION PRICING MODEL (1995)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A Long Memory Property of Stock Market Returns and a New Model (2010)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)
this work references cited by second hop

References

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  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
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  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited

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2002
Stationarity and the existence of moments of a family of GARCH processes
357 cited
  • 2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS288 cited
  • Cited by

    • 2006Modeling dynamic conditional correlations in WTI oil forward and futures returns53 cited
    • 2005Modelling country spillover effects in country risk ratings50 cited
    • 2006Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns40 cited
    • 2008Modelling the interactions across international stock, bond and foreign exchange markets39 cited
    • 2019‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects32 cited
    • 2004Modelling Dynamic Conditional Correlations in Wti Oil Forward and Futures Returns30 cited
    • 2004Modelling thresholds and volatility in US ecological patents15 cited