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Matrix exponential GARCH
16 references·16 citing·26 second hopsampled
Matrix exponential GARCH (2005)Matrix exponential GARCHGO‐GARCH: a multivariate generalized orthogonal GARCH model (2002)GO‐GARCH: a multivariate gene…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …5 Stochastic volatility (1996)5 Stochastic volatilityMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…All in the family Nesting symmetric and asymmetric GARCH models (1995)All in the family Nesting sym…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A multivariate realized GARCH model (2025)A multivariate realized GARCH…Volatility and dynamic dependence modeling: Review, applications, and financial risk management (2021)Volatility and dynamic depend…Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice (2018)Volatility Spillovers between…MGARCH models: Trade-off between feasibility and flexibility (2017)MGARCH models: Trade-off betw…Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (2015)Forecasting co-volatilities v…Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown (2015)Estimation and inference in u…Volatility transmission in global financial markets (2014)Volatility transmission in gl…Matrix exponential stochastic volatility with cross leverage (2014)Matrix exponential stochastic…A One Line Derivation of EGARCH (2014)A One Line Derivation of EGAR…Proximity-Structured Multivariate Volatility Models (2013)Proximity-Structured Multivar…Financial Risk Measurement for Financial Risk Management (2012)Financial Risk Measurement fo…Efficient estimation of a multivariate multiplicative volatility model (2010)Efficient estimation of a mul…Sequential conditional correlations: Inference and evaluation (2009)Sequential conditional correl…Positivity constraints on the conditional variances in the family of conditional correlation GARCH models (2008)Positivity constraints on the…Multivariate GARCH Models (2008)Multivariate GARCH ModelsVOLATILITY AND CORRELATION FORECASTING (2006)VOLATILITY AND CORRELATION FO…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)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)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Generalized autoregressive conditional heteroskedasticity (1986)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)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Time Series Regression with a Unit Root (1987)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)MONEY, INCOME, AND CAUSALITY (1972)Have Individual Stocks Become More Volatile? 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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 19965 Stochastic volatility1,189 cited
  • 1995All in the family Nesting symmetric and asymmetric GARCH models

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723 cited
  • 2002GO‐GARCH: a multivariate generalized orthogonal GARCH model475 cited
  • Cited by

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    • 2008Positivity constraints on the conditional variances in the family of conditional correlation GARCH models63 cited
    • 2014Volatility transmission in global financial markets51 cited
    • 2017MGARCH models: Trade-off between feasibility and flexibility48 cited
    • 2018Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice43 cited
    • 2015Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown43 cited
    • 2009Sequential conditional correlations: Inference and evaluation43 cited
    • 2012Financial Risk Measurement for Financial Risk Management43 cited
    • 2015Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance38 cited
    • 2013Proximity-Structured Multivariate Volatility Models34 cited
    • 2014Matrix exponential stochastic volatility with cross leverage25 cited
    • 2021Volatility and dynamic dependence modeling: Review, applications, and financial risk management23 cited
    • 2025A multivariate realized GARCH model21 cited