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A test for constant correlations in a multivariate GARCH model · Study

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ArticleA test for constant correlations in a multivariate GARCH model

Unknown author2000

OA

Articlegreen2000

A test for constant correlations in a multivariate GARCH model

Unknown author

441 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 441 citations exist upstream.

References

1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1988A Capital Asset Pricing Model with Time-Varying Covariances 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING 1991Bivariate garch estimation of the optimal commodity futures Hedge 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills

Cited by

2020Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis?2010Modelling Nonlinear Economic Time Series 2011Volatility transmission in emerging European foreign exchange markets 2005Comovement in international equity markets: A sectoral view 2007Party Influence in Congress 2010The intertemporal capital asset pricing model with dynamic conditional correlations 2009Evaluating Volatility and Correlation Forecasts 2012Exchange return co-movements and volatility spillovers before and after the introduction of euro

Details

Year2000

Typearticle

Published2000-09-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations441

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/s0304-4076(99)00080-9

openalex_workW2157496047

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