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STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS

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References

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1995Multivariate Simultaneous Generalized ARCH4,510 cited
1997The variation of certain speculative prices4,468 cited
1992ARCH modeling in finance4,288 cited
1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
1992Stationarity of Garch processes and of some nonnegative time series567 cited

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2010Modelling Nonlinear Economic Time Series352 cited
2008TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY348 cited
2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY343 cited

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2009

Break detection in the covariance structure of multivariate time series models

313 cited

2003Asymptotic theory for multivariate GARCH processes301 cited

2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models285 cited

2014Dynamic spillovers among major energy and cereal commodity prices253 cited

2009Break detection in the covariance structure of multivariate time series models247 cited

2011Multivariate high‐frequency‐based volatility (HEAVY) models228 cited

2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility218 cited

2015Volatility linkages between energy and agricultural commodity prices211 cited

2010Precious metals–exchange rate volatility transmissions and hedging strategies209 cited

2015Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis206 cited

2014Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness204 cited