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A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
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A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models (1999)A Note on Diagnosing Multivariate Conditi…An analysis of stock markets integration and dynamics of volatility spillover in emerging nations (2023)An analysis of stock markets …Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance (2016)Are Correlations Constant? Em…On testing for multivariate ARCH effects in vector time series models (2003)On testing for multivariate A…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 (1991)Principal Volatility Component Analysis (2013)Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia (2013)Tests for serial dependence in static, non-Gaussian factor models (2015)The Econometrics of Financial Markets (1997)Dynamic Conditional Correlation (2002)The Econometrics of Financial Markets (2012)Global risk aversion and emerging market return comovements (2018)Change-point problems for multivariate time series using pseudo-observations (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)
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  • 2016Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance51 cited
  • 2003On testing for multivariate ARCH effects in vector time series models50 cited
  • 2023An analysis of stock markets integration and dynamics of volatility spillover in emerging nations39 cited

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