SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
16 references·9 citing·33 second hop
Modelling Multivariate Volatilities via Conditionally Uncorrelated Components (2008)Modelling Multivariate Volatilities via C…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Analysis of Financial Time Series (2002)Analysis of Financial Time Se…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…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Modelling 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 (1988)Meteor Showers or Heat Waves?…Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988)Asset Pricing with a Factor A…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Asymptotics of Cholesky GARCH models and time-varying conditional betas (2018)Asymptotics of Cholesky GARCH…Consistently determining the number of factors in multivariate volatility modelling (2014)Consistently determining the …Multivariate rotated ARCH models (2013)Multivariate rotated ARCH mod…Stable mixture GARCH models (2012)Stable mixture GARCH modelsA conditionally heteroskedastic independent factor model with an application to financial stock returns (2011)A conditionally heteroskedast…Method of moments estimation of GO-GARCH models (2010)Method of moments estimation …A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2010)A Dynamic Multivariate Heavy-…STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS (2009)STATISTICAL INFERENCE FOR MUL…Efficient factor GARCH models and factor-DCC models (2009)Efficient factor GARCH models…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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Time Series Analysis: Forecasting and Control (1977)Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)The Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)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)
this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 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
  • 2006Analysis of Financial Time Series2,348 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 2002Analysis of Financial Time Series902 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

587 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • Cited by

    • 2012Stable mixture GARCH models60 cited
    • 2010Method of moments estimation of GO-GARCH models51 cited
    • 2009Efficient factor GARCH models and factor-DCC models50 cited
    • 2014Consistently determining the number of factors in multivariate volatility modelling50 cited
    • 2013Multivariate rotated ARCH models50 cited
    • 2009STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS40 cited
    • 2011A conditionally heteroskedastic independent factor model with an application to financial stock returns37 cited
    • 2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations32 cited
    • 2018Asymptotics of Cholesky GARCH models and time-varying conditional betas27 cited