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Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
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Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models (2018)Change‐Point Detection in the Conditional…Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)Global financial crisis and e…Dynamic Conditional Correlation: On Properties and Estimation (2013)Dynamic Conditional Correlati…Structural breaks in time series (2012)Structural breaks in time ser…GARCH Models (2010)GARCH ModelsMultivariate GARCH Models (2009)Multivariate GARCH ModelsBreak detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Detecting multiple breaks in financial market volatility dynamics (2002)Detecting multiple breaks in …Limit theorems in change-point analysis (1997)Limit theorems in change-poin…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Journal of the American Statistical Association (1995)Journal of the American Stati…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Book Review: Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Volatility in Emerging Stock Markets (1999)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Time Series Regression with a Unit Root (1987)Testing for cointegration using principal components methods (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Comparing Predictive Accuracy (1994)Efficient Tests for an Autoregressive Unit Root (1996)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Aggregate Confusion: The Divergence of ESG Ratings (2019)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)Dealing with Structural Breaks (2005)Penalized Maximal t Test for Detecting Undocumented Mean Change in Climate Data Series (2007)Modelling Nonlinear Economic Time Series (2010)Crude oil hedging strategies using dynamic multivariate GARCH (2011)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1997Limit theorems in change-point analysis1,004 cited
  • 2009Multivariate GARCH Models491 cited
  • 2012Structural breaks in time series444 cited
  • 2013Dynamic Conditional Correlation: On Properties and Estimation423 cited
  • 2013Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach359 cited
  • 2010GARCH Models325 cited
  • 2002Detecting multiple breaks in financial market volatility dynamics324 cited

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2009
Break detection in the covariance structure of multivariate time series models
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