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Inference in (M)GARCH Models in the Presence of Additive Outliers: Specification, Estimation, and Prediction
16 references·0 citing·19 second hop
Inference in (M)GARCH Models in the Presence of Additive Outliers: Specification, Estimation, and Prediction (2018)Inference in (M)GARCH Models in the Prese…GARCH Models: Structure, Statistical Inference and Financial Applications (2019)GARCH Models: Structure, Stat…GARCH Models (2019)GARCH ModelsDynamic Conditional Correlation: On Properties and Estimation (2013)Dynamic Conditional Correlati…Multivariate GARCH Models (2009)Multivariate GARCH ModelsDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Multivariate GARCH models: a surveyMultivariate GARCH models: a …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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Analysis of Financial Time Series (2006)Econometric Analysis of Cross Section and Panel Data (2001)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)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)
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  • 2013

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Dynamic Conditional Correlation: On Properties and Estimation
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