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Matrix exponential stochastic volatility with cross leverage
16 references·2 citing·35 second hopsampled
Matrix exponential stochastic volatility with cross leverage (2014)Matrix exponential stochastic volatility …The conditional autoregressive Wishart model for multivariate stock market volatility (2011)The conditional autoregressiv…Multivariate high‐frequency‐based volatility (HEAVY) models (2011)Multivariate high‐frequency‐b…Forecasting multivariate realized stock market volatility (2010)Forecasting multivariate real…The Wishart Autoregressive process of multivariate stochastic volatility (2009)The Wishart Autoregressive pr…Multivariate Stochastic Volatility (2009)Multivariate Stochastic Volat…Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stochastic volatility with le…Multivariate Stochastic Volatility: A Review (2006)Multivariate Stochastic Volat…Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (2006)Multivariate Stochastic Volat…A matrix exponential spatial specification (2006)A matrix exponential spatial …On leverage in a stochastic volatility model (2004)On leverage in a stochastic v…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models (1998)Multivariate stochastic volat…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Volatility and dynamic dependence modeling: Review, applications, and financial risk management (2021)Volatility and dynamic depend…Bayesian analysis of multivariate stochastic volatility with skew return distribution (2014)Bayesian analysis of multivar…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Why Does Stock Market Volatility Change Over Time? (1989)Correlation Risk and Optimal Portfolio Choice (2010)A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)Modelling and Forecasting Multivariate Realized Volatility (2011)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2003)On loss functions and ranking forecasting performances of multivariate volatility models (2012)Dynamic copula models and high frequency data (2014)Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (2018)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Financial Modelling with Jump Processes (2003)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Common Drifting Volatility in Large Bayesian VARs (2015)Measuring Uncertainty and Its Impact on the Economy (2017)The Pricing of Options on Assets with Stochastic Volatilities (1987)AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)High-Frequency Financial Econometrics (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)Evaluating Volatility and Correlation Forecasts (2009)Modelling Nonlinear Economic Time Series (2010)A long memory property of stock market returns and a new model (1993)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 2006Stochastic volatility with leverage: Fast and efficient likelihood inference464 cited
  • 2004On leverage in a stochastic volatility model411 cited
  • 2006Multivariate Stochastic Volatility: A Review375 cited
  • 2009The Wishart Autoregressive process of multivariate stochastic volatility295 cited
  • 2011Multivariate high‐frequency‐based volatility (HEAVY) models228 cited
  • 2006A matrix exponential spatial specification183 cited
  • 2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison181 cited
  • 2011The conditional autoregressive Wishart model for multivariate stock market volatility165 cited
  • 2010Forecasting multivariate realized stock market volatility162 cited
  • 2009Multivariate Stochastic Volatility150 cited
  • 1998

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Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
120 cited

Cited by

  • 2021Volatility and dynamic dependence modeling: Review, applications, and financial risk management23 cited
  • 2014Bayesian analysis of multivariate stochastic volatility with skew return distribution23 cited