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Principal Volatility Component Analysis
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Principal Volatility Component Analysis (2013)Principal Volatility Component AnalysisAnalysis of Financial Time Series (2010)Analysis of Financial Time Se…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…On testing for multivariate ARCH effects in vector time series models (2003)On testing for multivariate A…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Diagnostic checking of nonlinear multivariate time series with multivariate arch errors (1997)Diagnostic checking of nonlin…Consistent Testing for Serial Correlation of Unknown Form (1996)Consistent Testing for Serial…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Common Volatility in International Equity Markets (1993)Common Volatility in Internat…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Identifying Shocks via Time-Varying Volatility (2021)Identifying Shocks via Time-V…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Volatility transmission between oil prices and equity sector returns (2009)Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets (2019)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia (2013)Tests for serial dependence in static, non-Gaussian factor models (2015)Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Testing for Pairwise Serial Independence Via the Empirical Distribution Function (1998)DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS (2003)Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (2007)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)A Multivariate GARCH Model with Time-Varying Correlations (2000)Multivariate GARCH Models (2008)Improved multivariate portmanteau test (2011)The Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Macroeconomics and Reality (1980)The Impact of Uncertainty Shocks (2009)Measuring Economic Policy Uncertainty* (2016)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)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)A model of carbon price interactions with macroeconomic and energy dynamics (2011)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)Reducing demand uncertainty in the platelet supply chain through artificial neural networks and ARIMA models (2019)
this work references cited by second hop

References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2010Analysis of Financial Time Series1,035 cited
  • 1993Common Volatility in International Equity Markets285 cited
  • 1996Consistent Testing for Serial Correlation of Unknown Form204 cited
  • 1997Diagnostic checking of nonlinear multivariate time series with multivariate arch errors99 cited
  • 2003On testing for multivariate ARCH effects in vector time series models50 cited

Cited by

  • 2021Identifying Shocks via Time-Varying Volatility14 cited

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