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Dynamic Conditional Correlation: On Properties and Estimation
16 references·16 citing·16 second hopsampled
Dynamic Conditional Correlation: On Properties and Estimation (2013)Dynamic Conditional Correlation: On Prope…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…CAViaR (2004)CAViaRDynamic 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…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Modelling 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…Climate bond, stock, gold, and oil markets: Dynamic correlations and hedging analyses during the COVID-19 outbreak (2021)Climate bond, stock, gold, an…Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Is Gold a Hedge or a Safe-Hav…Hedging Strategies of Green Assets against Dirty Energy Assets (2020)Hedging Strategies of Green A…Fitting Vast Dimensional Time-Varying Covariance Models (2020)Fitting Vast Dimensional Time…Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? (2020)Are Bitcoin and Ethereum safe…Energy, precious metals, and GCC stock markets: Is there any risk spillover? (2019)Energy, precious metals, and …Time-varying volatility spillovers between stock and precious metal markets with portfolio implications (2017)Time-varying volatility spill…Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective? (2017)Time-varying causality betwee…Large Dynamic Covariance Matrices (2017)Large Dynamic Covariance Matr…Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications (2017)Dynamic risk spillovers betwe…Interconnectedness in the Global Financial Market (2016)Interconnectedness in the Glo…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets (2014)On the macroeconomic determin…On the links between stock and commodity markets' volatility (2013)On the links between stock an…Dynamic relationship between precious metals (2013)Dynamic relationship between …Risk, Uncertainty, and Expected Returns (2012)Risk, Uncertainty, and Expect…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)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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Econometric Analysis of Cross Section and Panel Data (2001)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 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
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2004CAViaR2,210 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations

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1,198 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
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    • 2014On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets185 cited
    • 2020Fitting Vast Dimensional Time-Varying Covariance Models152 cited
    • 2021Climate bond, stock, gold, and oil markets: Dynamic correlations and hedging analyses during the COVID-19 outbreak150 cited
    • 2016Interconnectedness in the Global Financial Market143 cited
    • 2020Hedging Strategies of Green Assets against Dirty Energy Assets131 cited
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    • 2017Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?119 cited
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