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Multivariate GARCH Models

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
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1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
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1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
n.d.Multivariate GARCH models: a survey2,055 cited
1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
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2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

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1,124 cited

2003A New Approach to Measuring Financial Contagion1,015 cited

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