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Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
8 references·16 citing·25 second hop
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical properties of D…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Modelling 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…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)Asymmetric connectedness on t…Dynamic Conditional Correlation: On Properties and Estimation (2013)Dynamic Conditional Correlati…Dynamic Equicorrelation (2012)Dynamic EquicorrelationVolatility transmission in emerging European foreign exchange markets (2011)Volatility transmission in em…SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital …A component model for dynamic correlations (2009)A component model for dynamic…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…Regime switching for dynamic correlations (2006)Regime switching for dynamic …Chapter 15 Volatility and Correlation Forecasting (2006)Chapter 15 Volatility and Cor…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)Estimation and model selectio…AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)AUTOMATED INFERENCE AND LEARN…Analysis of high dimensional multivariate stochastic volatility models (2005)Analysis of high dimensional …New frontiers for arch models (2002)New frontiers for arch modelsDynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)International Stock Return Comovements (2005)High dimensional covariance matrix estimation using a factor model (2008)60 Years of portfolio optimization: Practical challenges and current trends (2013)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Introductory Econometrics for Finance (2008)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited

Cited by

  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
  • 2002New frontiers for arch models739 cited
  • 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk662 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2015Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers459 cited
  • 2012Dynamic Equicorrelation456 cited
  • 2013Dynamic Conditional Correlation: On Properties and Estimation423 cited
  • 2006Regime switching for dynamic correlations414 cited
  • 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification402 cited
  • 2005Analysis of high dimensional multivariate stochastic volatility models345 cited
  • 2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY343 cited
  • 2011Volatility transmission in emerging European foreign exchange markets337 cited
  • 2006Chapter 15 Volatility and Correlation Forecasting330 cited
  • 2009A component model for dynamic correlations300 cited