SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Capturing the Spillover Effect With Multiplicative Error Models
16 references·0 citing·31 second hop
Capturing the Spillover Effect With Multiplicative Error Models (2015)Capturing the Spillover Effect With Multi…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A Primer on Financial Contagion (2003)A Primer on Financial Contagi…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…New frontiers for arch models (2002)New frontiers for arch modelsForecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Macroeconomic Forecasting Using Diffusion Indexes (2002)A PANIC Attack on Unit Roots and Cointegration (2004)Measuring Uncertainty (2015)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The Cross‐Section of Volatility and Expected Returns (2006)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)International Asset Allocation With Regime Shifts (2002)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 2002New frontiers for arch models739 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

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

723 cited
  • 2003A Primer on Financial Contagion696 cited
  • Cited by

    No citing works inside the corpus for this window.