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Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model – an empirical study on foreign exchange rates
16 references·5 citing·21 second hop
Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model – an empirical study on foreign exchange rates (2008)Estimating portfolio value-at-risk via dy…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Financial econometrics: Past developments and future challenges (2001)Financial econometrics: Past …Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…A test for constant correlations in a multivariate GARCH model (2000)A test for constant correlati…Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China (1999)Constant conditional correlat…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…ARCH: Selected Readings (1995)ARCH: Selected ReadingsArch (1995)ArchARCH modeling in finance (1992)ARCH modeling in financeModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…DO ISLAMIC CRYPTOCURRENCIES PROVIDE DIVERSIFICATION OPPORTUNITIES TO INDONESIAN ISLAMIC INVESTORS? (2022)DO ISLAMIC CRYPTOCURRENCIES P…Cross-country evidence of Islamic portfolio diversification: are there opportunities in Saudi Arabia? (2018)Cross-country evidence of Isl…Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach (2012)Portfolio Value at Risk Estim…Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore (2012)Asymmetric dynamics in stock …Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market (2011)Asymmetric dynamics in correl…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Generalized autoregressive conditional heteroskedasticity (1986)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)The Pricing of Options and Corporate Liabilities (1973)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)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)Multivariate GARCH models: a survey (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992ARCH modeling in finance4,343 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 2015RiskMetrics Technical Document682 cited
  • 2000A test for constant correlations in a multivariate GARCH model441 cited
  • 1995Arch374 cited
  • 1995ARCH: Selected Readings288 cited
  • 2001Financial econometrics: Past developments and future challenges75 cited

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1999
Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China
66 cited

Cited by

  • 2011Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market21 cited
  • 2012Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore21 cited
  • 2012Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach20 cited
  • 2022DO ISLAMIC CRYPTOCURRENCIES PROVIDE DIVERSIFICATION OPPORTUNITIES TO INDONESIAN ISLAMIC INVESTORS?13 cited
  • 2018Cross-country evidence of Islamic portfolio diversification: are there opportunities in Saudi Arabia?13 cited