References

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• n.d.Multivariate GARCH models: a survey2,055 cited
• 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
• 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
• 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited
• 2007Portfolio Selection With Robust Estimation326 cited
• 2005Neglecting parameter changes in GARCH models321 cited
• 2003Asymptotic theory for multivariate GARCH processes301 cited
• 2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models285 cited
• 1999Additive outliers, GARCH and forecasting volatility266 cited
• 2003Least absolute deviations estimation for ARCH and GARCH models179 cited
• 1997Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models177 cited
• 1999Testing for ARCH in the presence of additive outliers155 cited
• 1998High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility148 cited
• 2003Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With StudenttInnovations