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A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
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A generalized Dynamic Conditional Correlation model for portfolio risk evaluation (2008)A generalized Dynamic Conditional Correla…Methods for Evaluating Value-at-Risk Estimates (2007)Methods for Evaluating Value-…Multivariate Stochastic Volatility: A Review (2006)Multivariate Stochastic Volat…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)AUTOMATED INFERENCE AND LEARN…Asymptotic theory for multivariate GARCH processes (2003)Asymptotic theory for multiva…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing (2001)Large Scale Conditional Covar…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional 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…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Multivariate rotated ARCH models (2013)Multivariate rotated ARCH mod…Clustering of financial time series in risky scenarios (2013)Clustering of financial time …Risk spillovers in international equity portfolios (2012)Risk spillovers in internatio…MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES (2012)MULTIVARIATE VOLATILITY MODEL…Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models (2010)Do We Really Need Both BEKK a…Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models (2009)Do We Really Need Both BEKK a…Multivariate GARCH Models (2008)Multivariate GARCH ModelsDo Inflation‐Linked Bonds Still Diversify? (2008)Do Inflation‐Linked Bonds Sti…Dynamic Asymmetric GARCH (2006)Dynamic Asymmetric GARCHARCH 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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)The Econometrics of Financial Markets (1997)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)The Econometrics of Financial Markets (2012)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)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The Cross‐Section of Volatility and Expected Returns (2006)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)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)
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248 cited
  • 2007Methods for Evaluating Value-at-Risk Estimates186 cited
  • Cited by

    • 2008Multivariate GARCH Models72 cited
    • 2012MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES56 cited
    • 2013Clustering of financial time series in risky scenarios55 cited
    • 2013Multivariate rotated ARCH models50 cited
    • 2006Dynamic Asymmetric GARCH41 cited
    • 2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models40 cited
    • 2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models39 cited
    • 2008Do Inflation‐Linked Bonds Still Diversify?27 cited
    • 2012Risk spillovers in international equity portfolios22 cited