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Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management
12 references·1 citing·23 second hop
Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management (2017)Theoretical and Empirical Differences bet…Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis (2016)Volatility transmission betwe…Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach (2015)Exchange rate uncertainty and…A One Line Derivation of EGARCH (2014)A One Line Derivation of EGAR…Exchange rate risk and the equity performance of financial intermediaries (2012)Exchange rate risk and the eq…GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION (2008)GENERALIZED AUTOREGRESSIVE CO…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Conditional Heteroscedastic Time Series Models (1987)Conditional Heteroscedastic T…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Volatility spillovers for energy prices: A diagonal BEKK approach (2020)Volatility spillovers for ene…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Dynamic Conditional Correlation (2002)International portfolio flows and exchange rate volatility in emerging Asian markets (2017)Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries (2020)Geopolitical risks and historical exchange rate volatility of the BRICS (2021)Econometric Analysis of Cross Section and Panel Data (2001)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Testing Continuous-Time Models of the Spot Interest Rate (1996)Alternative models for stock price dynamics (2003)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Asymmetry and Leverage in Conditional Volatility Models (2014)Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices (2017)The correct regularity condition and interpretation of asymmetry in EGARCH (2017)The Cross‐Section of Volatility and Expected Returns (2006)On a Mixture Autoregressive Conditional Heteroscedastic Model (2001)Recent Theoretical Results for Time Series Models with GARCH Errors (2002)DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS (2011)Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets (2009)Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010)Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks (2020)
this work references cited by second hop

References

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  • 2008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION175 cited
  • 2015Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach91 cited
  • 2014A One Line Derivation of EGARCH86 cited
  • 2016Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis69 cited
  • 2012Exchange rate risk and the equity performance of financial intermediaries33 cited

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  • 2020Volatility spillovers for energy prices: A diagonal BEKK approach56 cited

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