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Modelling and forecasting multivariate realized volatility
16 references·13 citing·35 second hop
Modelling and forecasting multivariate realized volatility (2010)Modelling and forecasting multivariate re…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…The distribution of realized stock return volatility (2001)The distribution of realized …Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Portfolio Selection (1952)Portfolio SelectionMultivariate GARCH models: a surveyMultivariate GARCH models: a …Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (2018)Modeling and forecasting (un)…Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2018)Factor Models for Portfolio S…Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds (2018)Exploiting Dependence: Day-Ah…Covariance Forecasting in Equity Markets (2018)Covariance Forecasting in Equ…Volatility Forecasting of Non-Ferrous Metal Futures: Covariances, Covariates or Combinations? (2017)Volatility Forecasting of Non…Exponential Smoothing of Realized Portfolio Weights (2017)Exponential Smoothing of Real…Excess Volatility as an Impediment for a Digital Currency (2017)Excess Volatility as an Imped…Volatility forecasting of strategically linked commodity ETFs: gold-silver (2016)Volatility forecasting of str…Risk and uncertainty (2016)Risk and uncertaintyStock and currency market linkages: New evidence from realized spillovers in higher moments (2015)Stock and currency market lin…A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns (2014)A Bayesian High-Frequency Est…Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? (2013)Do High-Frequency Data Improv…Forecasting Volatility Using High-Frequency Data (2012)Forecasting Volatility Using …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)The Cross‐Section of Volatility and Expected Returns (2006)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1952Portfolio Selection4,609 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited

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  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • Cited by

    • 2015Stock and currency market linkages: New evidence from realized spillovers in higher moments47 cited
    • 2018Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly40 cited
    • 2018Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds39 cited
    • 2012Forecasting Volatility Using High-Frequency Data39 cited
    • 2017Excess Volatility as an Impediment for a Digital Currency38 cited
    • 2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions35 cited
    • 2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?29 cited
    • 2016Volatility forecasting of strategically linked commodity ETFs: gold-silver27 cited
    • 2017Exponential Smoothing of Realized Portfolio Weights27 cited
    • 2017Volatility Forecasting of Non-Ferrous Metal Futures: Covariances, Covariates or Combinations?26 cited
    • 2014A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns25 cited
    • 2018Covariance Forecasting in Equity Markets23 cited
    • 2016Risk and uncertainty0 cited