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ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
7 references·16 citing·24 second hop
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…ARCH modeling in finance (1992)ARCH modeling in financeModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Oil volatility, oil and gas firms and portfolio diversification (2018)Oil volatility, oil and gas f…GARCH Modelling of Cryptocurrencies (2017)GARCH Modelling of Cryptocurr…Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Hedging emerging market stock…World gold prices and stock returns in China: Insights for hedging and diversification strategies (2014)World gold prices and stock r…Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014)Modeling volatility and corre…Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Correlations and volatility s…Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011)Return and volatility transmi…On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)On the impacts of oil price f…Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…Modelling Nonlinear Economic Time Series (2010)Modelling Nonlinear Economic …Multivariate GARCH Models (2009)Multivariate GARCH ModelsChapter 15 Volatility and Correlation Forecasting (2006)Chapter 15 Volatility and Cor…AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)AUTOMATED INFERENCE AND LEARN…Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Maximum likelihood estimation…GO‐GARCH: a multivariate generalized orthogonal GARCH model (2002)GO‐GARCH: a multivariate gene…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Stationarity and Persistence in the GARCH(1,1) Model (1990)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Risk, Uncertainty, and Expected Returns (2012)Multivariate GARCH models: a surveyModeling Asymmetric Comovements of Asset Returns (1998)Dynamic Conditional Correlation (2002)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Bounds testing approaches to the analysis of level relationships (2001)Modeling and Forecasting Realized Volatility (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited

Cited by

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  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
  • 2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes568 cited
  • 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold556 cited
  • 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH547 cited
  • 2009Multivariate GARCH Models491 cited
  • 2011On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness

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487 cited
  • 2002GO‐GARCH: a multivariate generalized orthogonal GARCH model475 cited
  • 2011Return and volatility transmission between world oil prices and stock markets of the GCC countries423 cited
  • 2017GARCH Modelling of Cryptocurrencies356 cited
  • 2010Modelling Nonlinear Economic Time Series352 cited
  • 2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY343 cited
  • 2006Chapter 15 Volatility and Correlation Forecasting330 cited
  • 2014Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat321 cited
  • 2018Oil volatility, oil and gas firms and portfolio diversification315 cited
  • 2014World gold prices and stock returns in China: Insights for hedging and diversification strategies311 cited