SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Multivariate Threshold Varying Conditional Correlations Model
16 references·2 citing·25 second hop
A Multivariate Threshold Varying Conditional Correlations Model (2009)A Multivariate Threshold Varying Conditio…Regime switching for dynamic correlations (2006)Regime switching for dynamic …AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)AUTOMATED INFERENCE AND LEARN…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…ARCH Models and Financial Applications (1999)ARCH Models and Financial App…Testing and Modeling Multivariate Threshold Models (1998)Testing and Modeling Multivar…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…ARCH Models and Financial Applications (1997)ARCH Models and Financial App…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Semiparametric ARCH Models (1991)Semiparametric ARCH ModelsModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…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…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Stochastic Covariance Models (2013)Stochastic Covariance ModelsHeterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range (2012)Heterogeneous Asymmetric Dyna…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)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Forecasting and testing in co-integrated systems (1987)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Threshold Cointegration (1997)Analysis of Financial Time Series (2006)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Modelling Nonlinear Economic Time Series (2010)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)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)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 1998Testing and Modeling Multivariate Threshold Models677 cited
  • 1991Semiparametric ARCH Models482 cited
  • 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited
  • 1999ARCH Models and Financial Applications417 cited
  • 2006Regime switching for dynamic correlations414 cited
  • 1997ARCH Models and Financial Applications397 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2005
AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
343 cited

Cited by

  • 2013Stochastic Covariance Models19 cited
  • 2012Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range18 cited