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On spatial contagion and multivariate GARCH models
16 references·0 citing·25 second hop
On spatial contagion and multivariate GARCH models (2013)On spatial contagion and multivariate GAR…Copula Theory and Its Applications (2010)Copula Theory and Its Applica…Multivariate GARCH Models (2009)Multivariate GARCH ModelsMeasuring financial contagion: A Copula approach (2007)Measuring financial contagion…Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Everything You Always Wanted …Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…An Introduction to Copulas (Springer Series in Statistics) (2006)An Introduction to Copulas (S…Empirical modelling of contagion: a review of methodologies (2005)Empirical modelling of contag…Copula Methods in Finance (2004)Copula Methods in FinanceA Primer on Financial Contagion (2003)A Primer on Financial Contagi…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)An Introduction to Copulas (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Limited-dependent and qualitative variables in econometrics (1983)Financial Contagion (2000)Emerging markets finance (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Copula Theory: An Introduction (2010)Extreme-Value Copulas (2010)A review of quantification methodologies for multi-hazard interrelationships (2019)Goodness-of-fit tests for copulas: A review and a power study (2007)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask1,622 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2006An Introduction to Copulas (Springer Series in Statistics)882 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 2003A Primer on Financial Contagion696 cited
  • 2010Copula Theory and Its Applications669 cited
  • 2005Empirical modelling of contagion: a review of methodologies549 cited
  • 2009Multivariate GARCH Models

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