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Multivariate GARCH Models · Study

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PreprintMultivariate GARCH Models

Annastiina Silvennoinen2008

OA

Preprintgreen2008

Multivariate GARCH Models

Annastiina Silvennoinen · Timo Teräsvirta Y

72 citations·0/0 files stored·SSRN Electronic Journal

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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

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2002Dynamic Conditional Correlation 1976The arbitrage theory of capital asset pricing 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 1988A Capital Asset Pricing Model with Time-Varying Covariances 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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2017Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries 2008Asymmetric CAPM Dependence for Large Dimensions: The Canonical Vine Autoregressive Copula Model 2018The Changing Role of Financial Stress, Oil Price, and Gold Price in Financial Contagion among US and BRIC Markets 2015Modelling spillovers between stock market and FX market: evidence for Nigeria 2015The Model Confidence Set Package for R

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2008Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer.preprint · 37 shared references 2003Multivariate GARCH Models: A Surveypreprint · 23 shared references 2009Multivariate GARCH Modelschapter · 22 shared references 2005Volatility Transmission Models: A Surveypreprint · 21 shared references 2010Modelling Nonlinear Economic Time Seriesbook · 20 shared references 2005Volatility Forecastingreport · 19 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations72

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1148139

openalex_workW2118429162

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2014

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