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Multivariate variance targeting in the BEKK-GARCH model
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Multivariate variance targeting in the BEKK-GARCH model (2013)Multivariate variance targeting in the BE…GARCH Models: Structure, Statistical Inference and Financial Applications (2019)GARCH Models: Structure, Stat…GARCH Models (2019)GARCH ModelsStationarity and geometric ergodicity of BEKK multivariate GARCH models (2011)Stationarity and geometric er…On the forecasting accuracy of multivariate GARCH models (2011)On the forecasting accuracy o…Merits and Drawbacks of Variance Targeting in GARCH Models (2011)Merits and Drawbacks of Varia…On the estimation of dynamic conditional correlation models (2010)On the estimation of dynamic …GARCH Models (2010)GARCH ModelsOn asymptotic theory for multivariate GARCH models (2009)On asymptotic theory for mult…Multivariate GARCH Models (2009)Multivariate GARCH ModelsVector equilibrium correction models with non‐linear discontinuous adjustments (2004)Vector equilibrium correction…ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH (2004)ASYMPTOTIC INFERENCE FOR NONS…Multivariate GARCH Models: A Survey (2003)Multivariate GARCH Models: A …Asymptotic theory for multivariate GARCH processes (2003)Asymptotic theory for multiva…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets (2014)Statistical and Machine Learning forecasting methods: Concerns and ways forward (2018)Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models (2019)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Generalized autoregressive conditional heteroscedasticity (1986)Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models (2011)Realized GARCH: a joint model for returns and realized measures of volatility (2011)EGARCH models with fat tails, skewness and leverage (2013)Dynamic Conditional Correlation (2002)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)Book Review: Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)GARCH processes: structure and estimation (2003)Multivariate GARCH models: a survey (2006)On the Modeling of Financial Time Series (2014)GARCH Modelling of Cryptocurrencies (2017)Deep learning for decision making and the optimization of socially responsible investments and portfolio (2019)Structural breaks in time series (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Time Series Models with an EGB2 Conditional Distribution (2014)
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References

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  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2019GARCH Models689 cited
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  • 2011On the forecasting accuracy of multivariate GARCH models236 cited
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  • 2009On asymptotic theory for multivariate GARCH models112 cited
  • 2004Vector equilibrium correction models with non‐linear discontinuous adjustments104 cited
  • 2010On the estimation of dynamic conditional correlation models97 cited
  • 2011Merits and Drawbacks of Variance Targeting in GARCH Models92 cited
  • 2011Stationarity and geometric ergodicity of BEKK multivariate GARCH models

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