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Multivariate semi-nonparametric distributions with dynamic conditional correlations
16 references·3 citing·26 second hop
Multivariate semi-nonparametric distributions with dynamic conditional correlations (2010)Multivariate semi-nonparametric distribut…Dynamic Equicorrelation (2012)Dynamic EquicorrelationComparing and evaluating Bayesian predictive distributions of asset returns (2010)Comparing and evaluating Baye…Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Strictly Proper Scoring Rules…Comparing Density Forecasts via Weighted Likelihood Ratio Tests (2007)Comparing Density Forecasts v…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange (1999)Multivariate Density Forecast…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES (1996)SKEWNESS AND KURTOSIS IN S&P …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications (1989)Seminonparametric Estimation …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Multivariate GARCH models: a surveyMultivariate GARCH models: a …The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters (2022)The effects of negative reput…The kidnapping of Europe: High-order moments' transmission between developed and emerging markets (2017)The kidnapping of Europe: Hig…Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall (2017)Risk quantification for commo…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Elicitation of Personal Probabilities and Expectations (1971)Comparing Predictive Accuracy (1994)Probabilistic Forecasts, Calibration and Sharpness (2007)Making and Evaluating Point Forecasts (2011)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)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)The Econometrics of Financial Markets (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)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)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Testing Density Forecasts, With Applications to Risk Management (2001)
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343 cited
  • 1996SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES318 cited
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    • 2017The kidnapping of Europe: High-order moments' transmission between developed and emerging markets42 cited
    • 2017Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall41 cited
    • 2022The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters27 cited