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The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions
16 references·6 citing·21 second hop
The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions (2018)The Fiction of Full BEKK: Pricing Fossil …GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION (2008)GENERALIZED AUTOREGRESSIVE CO…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…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…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…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…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…How does news flow affect cross-market volatility spillovers? Evidence from China’s stock index futures and spot markets (2021)How does news flow affect cro…What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model (2019)What They Did Not Tell You ab…Establishing national carbon emission prices for China (2019)Establishing national carbon …RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan (2018)RMB Exchange Rates and Volati…Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence (2018)Risk measurement of internati…Modeling extreme risks in commodities and commodity currencies (2018)Modeling extreme risks in com…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Time Series Analysis: Forecasting and Control (1977)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)Econometric Analysis of Cross Section and Panel Data (2001)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
this work references cited by second hop

References

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  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
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  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,637 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
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  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited
  • 1987Conditional Heteroscedastic Time Series Models

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264 cited
  • 2008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION175 cited
  • Cited by

    • 2019Establishing national carbon emission prices for China51 cited
    • 2019What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model23 cited
    • 2021How does news flow affect cross-market volatility spillovers? Evidence from China’s stock index futures and spot markets21 cited
    • 2018Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence20 cited
    • 2018RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan17 cited
    • 2018Modeling extreme risks in commodities and commodity currencies15 cited