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On the estimation of dynamic conditional correlation models
16 references·12 citing·24 second hop
On the estimation of dynamic conditional correlation models (2010)On the estimation of dynamic conditional …Multivariate GARCH Models (2009)Multivariate GARCH ModelsAsymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)On Portfolio Optimization: Fo…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Green cryptocurrencies and portfolio diversification in the era of greener paths (2023)Green cryptocurrencies and po…An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets (2022)An examination of whether gol…A Model Confidence Set approach to the combination of multivariate volatility forecasts (2020)A Model Confidence Set approa…Can Bitcoin be a diversifier, hedge or safe haven tool? (2019)Can Bitcoin be a diversifier,…Exchange rate comovements, hedging and volatility spillovers on new EU forex markets (2018)Exchange rate comovements, he…MGARCH models: Trade-off between feasibility and flexibility (2017)MGARCH models: Trade-off betw…Estimating Multivariate Volatility Models Equation by Equation (2015)Estimating Multivariate Volat…Volatility and dynamic conditional correlations of worldwide emerging and frontier markets (2014)Volatility and dynamic condit…Monitoring the mean of multivariate financial time series (2013)Monitoring the mean of multiv…Robust forecasting of dynamic conditional correlation GARCH models (2012)Robust forecasting of dynamic…Dynamic factor multivariate GARCH model (2012)Dynamic factor multivariate G…Ranking Multivariate GARCH Models by Problem Dimension (2010)Ranking Multivariate GARCH Mo…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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)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)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)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)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The Cross‐Section of Volatility and Expected Returns (2006)Generalized impulse response analysis in linear multivariate models (1998)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 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
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 1999

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On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
569 cited
  • 2009Multivariate GARCH Models491 cited
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