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Multivariate GARCH models: a survey
16 references·1 citing·13 second hop
Multivariate GARCH models: a survey (2006)Multivariate GARCH models: a surveyAnalysis of Financial Time Series (2006)Analysis of Financial Time Se…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…An Introduction to Copulas (1999)An Introduction to CopulasMultivariate 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…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…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…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Book Review: Time Series Analysis: Forecasting and Control (1977)Book Review: Time Series Anal…Time Series Analysis Forecasting and Control. (1971)Time Series Analysis Forecast…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…The Pricing of Options and Corporate Liabilities (1973)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Time Series Analysis: Forecasting and Control (1977)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Tie Series Analysis, Forecasting, and Control (1995)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
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References

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  • 1988A Capital Asset Pricing Model with Time-Varying Covariances

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3,145 cited
  • 2006Analysis of Financial Time Series2,378 cited
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    • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited