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A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
16 references·1 citing·23 second hop
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns (2018)A multivariate regime-switching GARCH mod…Regime Changes and Financial Markets (2012)Regime Changes and Financial …Multivariate GARCH Models (2009)Multivariate GARCH ModelsModelling Financial Time Series (2007)Modelling Financial Time Seri…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…A New Approach to Markov-Switching GARCH Models (2004)A New Approach to Markov-Swit…Improving GARCH volatility forecasts with regime-switching GARCH (2002)Improving GARCH volatility fo…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Volatility and cross correlation across major stock markets (1998)Volatility and cross correlat…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…Specification testing in Markov-switching time-series models (1996)Specification testing in Mark…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…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…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock Volatility Predictability in Bull and Bear Markets (2019)Stock Volatility Predictabili…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)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models? (2012)Regime changes in Bitcoin GARCH volatility dynamics (2018)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)The Cross‐Section of Volatility and Expected Returns (2006)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
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  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
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  • 2012Regime Changes and Financial Markets

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451 cited
  • 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited
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    • 2019Stock Volatility Predictability in Bull and Bear Markets18 cited