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Sequential conditional correlations: Inference and evaluation
16 references·3 citing·14 second hop
Sequential conditional correlations: Inference and evaluation (2009)Sequential conditional correlations: Infe…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Risk and uncertainty (2016)Risk and uncertaintyPositive semidefinite integrated covariance estimation, factorizations and asynchronicity (2016)Positive semidefinite integra…Do negative and positive equity returns share the same volatility dynamics? (2015)Do negative and positive equi…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The Behavior of Stock-Market Prices (1965)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)
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References

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2,119 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
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