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Evaluating Multivariate GARCH Models in the Nordic Electricity Markets
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Evaluating Multivariate GARCH Models in the Nordic Electricity Markets (2006)Evaluating Multivariate GARCH Models in t…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Emerging equity market volatility (1997)Emerging equity market volati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Stock Prices and Volume (1992)Stock Prices and VolumeModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Alternative models for conditional stock volatility (1990)Alternative models for condit…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…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Econometric Analysis of Cross Section and Panel Data (2001)Introductory Econometrics for Finance (2008)A long memory property of stock market returns and a new model (1993)Individualism and Momentum around the World (2010)
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References

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  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
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  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1997Emerging equity market volatility1,703 cited
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  • 1993Measuring and Testing the Impact of News on Volatility755 cited
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