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Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices
12 references·1 citing·34 second hop
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices (2000)Orthogonal Methods for Generating Large P…A Primer on the Orthogonal GARCH Model (2001)A Primer on the Orthogonal GA…On the Covariance Matrices Used in Value at Risk Models (1997)On the Covariance Matrices Us…Scenario Simulation: Theory and methodology (1996)Scenario Simulation: Theory a…An evaluation of volatility forecasting techniques (1996)An evaluation of volatility f…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills (1995)Asset Pricing with a FACTOR-A…Forecasting Volatility Using Historical Data (1994)Forecasting Volatility Using …Volatility forecasting without data-snooping (1990)Volatility forecasting withou…Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988)Asset Pricing with a Factor A…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Applications of State Space Models in finance (2009)Applications of State Space M…Generalized autoregressive conditional heteroskedasticity (1986)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Linear and Non-linear (Non-)Forecastability of High-frequency Exchange Rates (1997)Forecasting UK stock market volatility (2000)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)The Pricing of Options and Corporate Liabilities (1973)Monte Carlo methods for security pricing (1997)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Modeling and forecasting petroleum futures volatility (2006)Estimating stock market volatility using asymmetric GARCH models (2008)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Generalized autoregressive conditional heteroscedasticity (1986)Using value-at-risk to control risk taking: how wrong can you be? (1998)The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates (2003)The analysis of bank business performance and market risk—Applying Fuzzy DEA (2013)Alternative estimators for factor garch models—A monte carlo comparison (1992)The Arbitrage Pricing Theory and Multifactor Models of Asset Returns (1993)Volatility Forecasting (2005)Econometric Analysis of Cross Section and Panel Data (2001)Analytical value-at-risk with jumps and credit risk (2001)The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)Asset pricing with a factor-arch covariance structure (1990)Risk and Volatility: Econometric Models and Financial Practice (2004)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills587 cited
  • 1996An evaluation of volatility forecasting techniques479 cited
  • 1996Scenario Simulation: Theory and methodology168 cited
  • 1990Volatility forecasting without data-snooping155 cited
  • 1995Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills140 cited
  • 1997On the Covariance Matrices Used in Value at Risk Models123 cited
  • 2001A Primer on the Orthogonal GARCH Model56 cited
  • 1994Forecasting Volatility Using Historical Data53 cited

Cited by

  • 2009Applications of State Space Models in finance26 cited

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