References

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• 1995Multivariate Simultaneous Generalized ARCH4,510 cited
• 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
• 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
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• n.d.Multivariate GARCH models: a survey2,055 cited
• 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
• 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
• 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
• 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
• 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
• 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills587 cited
• 2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes568 cited
• 1992Stationarity of Garch processes and of some nonnegative time series567 cited
• 2002