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Efficient factor GARCH models and factor-DCC models
16 references·8 citing·11 second hop
Efficient factor GARCH models and factor-DCC models (2009)Efficient factor GARCH models and factor-…CAViaR (2004)CAViaRForecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…A test for independence based on the correlation dimension (1996)A test for independence based…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …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…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…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…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Stock trading rule discovery with double deep Q-network (2021)Stock trading rule discovery …Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management (2021)Risk Spillover during the COV…Is there a cost for sustainable investments: evidence from dynamic conditional correlation (2021)Is there a cost for sustainab…Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects (2020)Implied volatility relationsh…Multivariate GARCH models for large-scale applications: A survey (2019)Multivariate GARCH models for…Hedging U.S. metals & mining Industry's credit risk with industrial and precious metals (2019)Hedging U.S. metals & mining …Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models (2019)Can alternative hedging asset…Independent Factor Autoregressive Conditional Density Model (2013)Independent Factor Autoregres…The Pricing of Options and Corporate Liabilities (1973)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Modeling and Forecasting Realized Volatility (2003)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Econometric Analysis of Cross Section and Panel Data (2001)
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1,198 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
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    • 2013Independent Factor Autoregressive Conditional Density Model36 cited
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    • 2019Multivariate GARCH models for large-scale applications: A survey29 cited