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Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With StudenttInnovations
11 references·16 citing·37 second hop
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With StudenttInnovations (2003)Maximum Likelihood Estimation and Inferen…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …EVALUATING DENSITY FORECASTS (1997)EVALUATING DENSITY FORECASTSAsymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models (1997)Asymptotic Bias for Quasi-Max…Analytic derivatives and the computation of GARCH estimates (1996)Analytic derivatives and the …Quadratic ARCH Models (1995)Quadratic ARCH ModelsAll in the family Nesting symmetric and asymmetric GARCH models (1995)All in the family Nesting sym…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Unobserved component time series models with Arch disturbances (1992)Unobserved component time ser…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeA Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Energy, precious metals, and GCC stock markets: Is there any risk spillover? 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this work references cited by second hop

References

  • 1992ARCH modeling in finance4,288 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1995All in the family Nesting symmetric and asymmetric GARCH models723 cited
  • 1995Quadratic ARCH Models559 cited
  • 1992Unobserved component time series models with Arch disturbances329 cited
  • 1997Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models177 cited
  • 1997EVALUATING DENSITY FORECASTS171 cited
  • 1996Analytic derivatives and the computation of GARCH estimates153 cited

Cited by

  • 2013Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets240 cited
  • 2017Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications208 cited
  • 2003Multivariate GARCH Models: A Survey144 cited

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  • 2019Energy, precious metals, and GCC stock markets: Is there any risk spillover?130 cited
  • 2016Dynamic Volatility Spillovers Across Shipping Freight Markets122 cited
  • 2005Volatility Forecasting118 cited
  • 2013How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets111 cited
  • 2006Effects of outliers on the identification and estimation of GARCH models105 cited
  • 2009Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation100 cited
  • 2005Matrix exponential GARCH93 cited
  • 2017Risk spillovers and portfolio management between developed and BRICS stock markets91 cited
  • 2006VOLATILITY AND CORRELATION FORECASTING87 cited
  • 2007Analytical quasi maximum likelihood inference in multivariate volatility models86 cited
  • 2014Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries83 cited
  • 2007Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors76 cited
  • 2018Risk spillovers and hedging effectiveness between major commodities, and Islamic and conventional GCC banks70 cited