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Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
16 references·16 citing·34 second hopsampled
Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (2005)Multivariate Autoregressive Conditional H…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Differences of Opinion, Short…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Alternative models for conditional stock volatility (1990)Alternative models for condit…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Testing Linearity Against Smooth Transition Autoregressive Models (1988)Testing Linearity Against Smo…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Multivariate GARCH models: a surveyMultivariate GARCH models: a …Stock price prediction using principal components (2020)Stock price prediction using …Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity (2017)Sentiment, order imbalance, a…Financial crises and the nature of correlation between commodity and stock markets (2016)Financial crises and the natu…Dynamic linkages among carbon, energy and financial markets: a smooth transition approach (2014)Dynamic linkages among carbon…Volatility Threshold Dynamic Conditional Correlations: An International Analysis (2013)Volatility Threshold Dynamic …Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations (2013)Conditional Correlation Model…Dynamic correlation between stock prices and exchange rates (2011)Dynamic correlation between s…Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model (2010)Estimation and Forecasting of…Stock market integration between new EU member states and the Euro-zone (2009)Stock market integration betw…Co‐movements between US and UK stock prices: the role of time‐varying conditional correlations (2009)Co‐movements between US and U…Business cycle synchronization of the euro area with the new and negotiating member countries (2009)Business cycle synchronizatio…Revisiting stock market index correlations (2008)Revisiting stock market index…Positivity constraints on the conditional variances in the family of conditional correlation GARCH models (2008)Positivity constraints on the…Multivariate GARCH Models (2008)Multivariate GARCH ModelsModelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model (2008)Modelling Multivariate Autore…Semi-Parametric Modelling of Correlation Dynamics (2005)Semi-Parametric Modelling of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach 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realized stock return volatility (2001)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)ARCH modeling in finance (1992)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)A long memory property of stock market returns and a new model (1993)
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References

  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 2003Differences of Opinion, Short-Sales Constraints, and Market Crashes1,356 cited
  • 1990

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Alternative models for conditional stock volatility
1,272 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • Cited by

    • 2016Financial crises and the nature of correlation between commodity and stock markets126 cited
    • 2014Dynamic linkages among carbon, energy and financial markets: a smooth transition approach80 cited
    • 2009Stock market integration between new EU member states and the Euro-zone78 cited
    • 2008Multivariate GARCH Models72 cited
    • 2009Business cycle synchronization of the euro area with the new and negotiating member countries67 cited
    • 2008Positivity constraints on the conditional variances in the family of conditional correlation GARCH models63 cited
    • 2010Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model59 cited
    • 2008Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model53 cited
    • 2011Dynamic correlation between stock prices and exchange rates51 cited
    • 2020Stock price prediction using principal components50 cited
    • 2005Semi-Parametric Modelling of Correlation Dynamics41 cited
    • 2013Volatility Threshold Dynamic Conditional Correlations: An International Analysis40 cited
    • 2013Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations37 cited
    • 2017Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity31 cited
    • 2008Revisiting stock market index correlations30 cited
    • 2009Co‐movements between US and UK stock prices: the role of time‐varying conditional correlations29 cited