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Generalised Wishart Processes
13 references·1 citing·38 second hop
Generalised Wishart Processes (2010)Generalised Wishart ProcessesThe Wishart Autoregressive process of multivariate stochastic volatility (2009)The Wishart Autoregressive pr…Multivariate GARCH Models (2009)Multivariate GARCH ModelsMultivariate Stochastic Volatility via Wishart Processes (2006)Multivariate Stochastic Volat…Practical Issues in Forecasting Volatility (2005)Practical Issues in Forecasti…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Nonstationary multivariate process modeling through spatially varying coregionalization (2004)Nonstationary multivariate pr…Benchmarks and the accuracy of GARCH model estimation (2001)Benchmarks and the accuracy o…Benchmarks and software standards: A case study of GARCH procedures (1998)Benchmarks and software stand…Periodic Autoregressive Conditional Heteroscedasticity (1996)Periodic Autoregressive Condi…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…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…Dynamic Covariance Models for Multivariate Financial Time Series (2013)Dynamic Covariance Models for…Why Does Stock Market Volatility Change Over Time? (1989)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Dynamic Conditional Correlation (2002)Correlation Risk and Optimal Portfolio Choice (2010)A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)Modelling and Forecasting Multivariate Realized Volatility (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multivariate Simultaneous Generalized ARCH (1995)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Behavior of Stock-Market Prices (1965)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)Comparison of Volatility Measures: a Risk Management Perspective (2009)Practical Issues in the Analysis of Univariate GARCH Models (2009)Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Short-Term Interest Rates as Subordinated Diffusions (1997)Forecasting Stock Market Volatility with Regime-Switching GARCH Models (2005)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Interpolation of Spatial Data (1999)Hierarchical Modeling and Analysis for Spatial Data (2003)Improving the performance of predictive process modeling for large datasets (2008)A Spatio-Temporal Downscaler for Output From Numerical Models (2010)Hierarchical Modeling and Analysis for Spatial Data (2014)Cross-Covariance Functions for Multivariate Geostatistics (2015)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)Econometric Analysis of Cross Section and Panel Data (2001)Modelling Nonlinear Economic Time Series (2010)Crude oil hedging strategies using dynamic multivariate GARCH (2011)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)
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
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2009Multivariate GARCH Models491 cited
  • 1996Periodic Autoregressive Conditional Heteroscedasticity376 cited
  • 2004Nonstationary multivariate process modeling through spatially varying coregionalization329 cited
  • 2009The Wishart Autoregressive process of multivariate stochastic volatility295 cited
  • 2005Practical Issues in Forecasting Volatility228 cited
  • 2001Benchmarks and the accuracy of GARCH model estimation185 cited
  • 2006Multivariate Stochastic Volatility via Wishart Processes115 cited
  • 1998Benchmarks and software standards: A case study of GARCH procedures88 cited

Cited by

  • 2013Dynamic Covariance Models for Multivariate Financial Time Series31 cited

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