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Citations for "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models"

by Massimiliano Caporin & Michael McAleer

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  1. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  2. Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
  3. Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-716, CIRJE, Faculty of Economics, University of Tokyo.
  4. Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J., 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," Econometric Institute Research Papers EI 2010-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Louzis, Dimitrios & Vouldis, Angelos, 2013. "A financial systemic stress index for Greece," Working Paper Series, European Central Bank 1563, European Central Bank.
  6. Khalfaoui, R & Boutahar, M, 2012. "Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis," MPRA Paper 41624, University Library of Munich, Germany.
  7. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 13/04, University of Canterbury, Department of Economics and Finance.
  8. David E Allen & Michael McAleer & Robert Powell & Abhay Kumar Singh, 2013. "A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500," Working papers, Edith Cowan University, School of Business 2013-01, Edith Cowan University, School of Business.
  9. Caporale, Guglielmo Maria & Hunter, John & Menla Ali, Faek, 2014. "On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010," International Review of Financial Analysis, Elsevier, Elsevier, vol. 33(C), pages 87-103.
  10. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers, Kyoto University, Institute of Economic Research 795, Kyoto University, Institute of Economic Research.
  11. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-742, CIRJE, Faculty of Economics, University of Tokyo.
  12. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 115-126, June.
  13. Chang, C. & McAleer, M.J. & Tansuchat, R., 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," Econometric Institute Research Papers EI 2010-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  14. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," KIER Working Papers, Kyoto University, Institute of Economic Research 848, Kyoto University, Institute of Economic Research.
  15. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 13/16, University of Canterbury, Department of Economics and Finance.
  16. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Tinbergen Institute Discussion Papers 13-008/III, Tinbergen Institute.
  17. Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 14/09, University of Canterbury, Department of Economics and Finance.
  18. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2011. "Extreme values dependence of risk in Latin American markets," Economics Bulletin, AccessEcon, vol. 31(4), pages 2903-2914.
  19. Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Tinbergen Institute Discussion Papers 14-025/III, Tinbergen Institute.
  20. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
  21. Wen, Xiaoqian & Guo, Yanfeng & Wei, Yu & Huang, Dengshi, 2014. "How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China," Energy Economics, Elsevier, Elsevier, vol. 41(C), pages 63-75.
  22. McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  23. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 436-456.
  24. Aielli, Gian Piero & Caporin, Massimiliano, 2014. "Variance clustering improved dynamic conditional correlation MGARCH estimators," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 556-576.
  25. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010. "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, Elsevier, vol. 32(6), pages 1445-1455, November.
  26. Rasmus Søndergaard Pedersen, 2014. "Targeting estimation of CCC-Garch models with infinite fourth moments," Discussion Papers 14-04, University of Copenhagen. Department of Economics.