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Sequential conditional correlations: Inference and evaluation · Study

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ArticleSequential conditional correlations: Inference and evaluation

Alessandro Palandri2009

OA

Articlegreen2009

Sequential conditional correlations: Inference and evaluation

Alessandro Palandri

43 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1993Measuring and Testing the Impact of News on Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1989Why Does Stock Market Volatility Change Over Time?

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2016Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 2015Do negative and positive equity returns share the same volatility dynamics?

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Details

Year2009

Typearticle

Published2009-05-16

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations43

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2009.05.002

openalex_workW2089540673

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