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Distributional Tests in Multivariate Dynamic Models with Normal and Student-tInnovations
16 references·0 citing·37 second hop
Distributional Tests in Multivariate Dynamic Models with Normal and Student-tInnovations (2010)Distributional Tests in Multivariate Dyna…Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation (2009)Multivariate location–scale m…A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005)A New Class of Multivariate S…Testing normality: a GMM approach (2004)Testing normality: a GMM appr…Constrained Indirect Estimation (2004)Constrained Indirect Estimati…Testing Parametric Conditional Distributions of Dynamic Models (2003)Testing Parametric Conditiona…Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With StudenttInnovations (2003)Maximum Likelihood Estimation…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Modeling Asymmetry and Excess Kurtosis in Stock Return Data (2001)Modeling Asymmetry and Excess…Testing for GARCH effects: a one-sided approach (1998)Testing for GARCH effects: a …Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models (1997)Asymptotic Bias for Quasi-Max…Quadratic ARCH Models (1995)Quadratic ARCH ModelsVolatility and Links between National Stock Markets (1994)Volatility and Links between …Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Option Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Small sample properties of alternative forms of the Lagrange Multiplier test (1983)Small sample properties of al…The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Likelihood-based scoring rules for comparing density forecasts in tails (2011)Backtesting Expected Shortfall: Accounting for Tail Risk (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Measuring and Testing the Impact of News on Volatility (1993)A test for volatility spillover with application to exchange rates (2001)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)The risk return tradeoff in the long run: 1836–2003 (2007)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)Forecasting risk with Markov-switching GARCH models:A large-scale performance study (2018)Hedging stocks with oil (2019)Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets (2021)Expected stock returns and volatility (1987)Kurtosis of GARCH and stochastic volatility models with non-normal innovations (2003)The efficiency of the estimators of the parameters in GARCH processes (2004)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)The cumulant process and Esscher's change of measure (2002)Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Statistical aspects of ARCH and stochastic volatility (1996)A New Approach to Measuring Financial Contagion (2000)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Volatility Forecasting (2005)Chapter 5 Predictive Density Evaluation (2006)Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation (2009)Are Financial Assets Priced Locally or Globally? (2002)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)
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References

  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 1995Quadratic ARCH Models559 cited
  • 1991Option Pricing With V. G. Martingale Components1411 cited
  • 2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models285 cited
  • 2003Testing Parametric Conditional Distributions of Dynamic Models252 cited
  • 1997Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models177 cited
  • 2004Testing normality: a GMM approach176 cited
  • 2003Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With StudenttInnovations145 cited
  • 1998Testing for GARCH effects: a one-sided approach110 cited
  • 2009Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation100 cited
  • 2001Modeling Asymmetry and Excess Kurtosis in Stock Return Data85 cited
  • 2004

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Constrained Indirect Estimation
67 cited
  • 1983Small sample properties of alternative forms of the Lagrange Multiplier test66 cited
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