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Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis
16 references·1 citing·27 second hop
Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis (2012)Equities, credits and volatilities: A mul…The Determinants of Credit Default Swap Premia (2009)The Determinants of Credit De…The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)The Co‐movement of Credit Def…Pricing default swaps: Empirical evidence (2005)Pricing default swaps: Empiri…Asymptotic theory for multivariate GARCH processes (2003)Asymptotic theory for multiva…Recent Theoretical Results for Time Series Models with GARCH Errors (2002)Recent Theoretical Results fo…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…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…Macroeconomics and Reality (1980)Macroeconomics and RealityMONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYMultivariate GARCH models: a surveyMultivariate GARCH models: a …Volatility relation between credit default swap and stock market: new empirical tests (2019)Volatility relation between c…A Monetary History of the United States, 1867-1960 (1964)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Optimum Quantity of Money: and Other Essays (1971)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Automatic Lag Selection in Covariance Matrix Estimation (1994)Introductory Econometrics for Finance (2008)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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 logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Multivariate GARCH models: a survey (2006)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)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)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 2002Dynamic Conditional Correlation7,229 cited
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  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
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  • 2005Pricing default swaps: Empirical evidence286 cited

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2002
Recent Theoretical Results for Time Series Models with GARCH Errors
276 cited

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  • 2019Volatility relation between credit default swap and stock market: new empirical tests21 cited