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Multivariate modelling of the autoregressive random variance process
0 references·2 citing·6 second hop
Multivariate modelling of the autoregressive random variance process (1997)Multivariate modelling of the autoregress…Volatility and dynamic dependence modeling: Review, applications, and financial risk management (2021)Volatility and dynamic depend…A multivariate long memory stochastic volatility model (2005)A multivariate long memory st…A long memory property of stock market returns and a new model (1993)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modelling Financial Time Series (2007)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)
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  • 2005A multivariate long memory stochastic volatility model24 cited
  • 2021Volatility and dynamic dependence modeling: Review, applications, and financial risk management23 cited

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