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A multivariate realized GARCH model
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A multivariate realized GARCH model (2025)A multivariate realized GARCH modelHandbook of Economic Forecasting (2013)Handbook of Economic Forecast…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…New frontiers for arch models (2002)New frontiers for arch modelsDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of 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 …A dynamic conditional score model for the log correlation matrix (2021)A dynamic conditional score m…ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)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)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
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  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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907 cited
  • 2002New frontiers for arch models739 cited
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    • 2021A dynamic conditional score model for the log correlation matrix17 cited