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Citations for "Multivariate GARCH models: a survey"

by BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK

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  1. Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, vol. 29(2), pages 244-257.
  2. Peri, M. & Vandone, D. & Baldi, L., 2015. "Volatility Spillover between Water, Food and Energy," 2015 Conference, August 9-14, 2015, Milan, Italy 212627, International Association of Agricultural Economists.
  3. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris West - Nanterre la Défense, EconomiX.
  4. repec:ipg:wpaper:2014-469 is not listed on IDEAS
  5. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria.
  6. Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
  7. BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen, 2006. "Multivariate mixed normal conditional heteroskedasticity," CORE Discussion Papers 2006012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Colavecchio, Roberta & Funke, Michael, 2006. "Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," BOFIT Discussion Papers 16/2006, Bank of Finland, Institute for Economies in Transition.
  9. Weng, Haijie & Trück, Stefan, 2011. "Style analysis and Value-at-Risk of Asia-focused hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 491-510, November.
  10. Asai, Manabu & McAleer, Michael, 2008. "A Portfolio Index GARCH model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 449-461.
  11. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org, revised Nov 2014.
  12. Tamara Burdisso & Eduardo Ariel Corso, 2011. "Uncertainty and Portfolio Dollarization. The Argentine Case in the Last Half Century," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(63), pages 41-95, July - Se.
  13. Walid Mensi & Shawkat Hammoudeh & Duc Khuong Nguyen & Seong-Min Yoon, 2014. "Dynamic spillovers among major energy and cereal commodity prices," Working Papers 2014-160, Department of Research, Ipag Business School.
  14. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," KIER Working Papers 848, Kyoto University, Institute of Economic Research.
  15. Mark J. Jensen & John M. Maheu, 2012. "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper Series 48_12, The Rimini Centre for Economic Analysis.
  16. Hafner, Christian M. & Preminger, Arie, 2009. "Asymptotic Theory For A Factor Garch Model," Econometric Theory, Cambridge University Press, vol. 25(02), pages 336-363, April.
  17. Jorge Alberto Achcar & Edilberto Cepeda-Cuervo & Milton Barossi-Filho, 2012. "Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, June.
  18. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, 08.
  19. Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno".
  20. Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  21. Adams, Zeno & Glueck, Thorsten, 2014. "Financialization in Commodity Markets: A Passing Trend or the New Normal?," Working Papers on Finance 1413, University of St. Gallen, School of Finance, revised Aug 2015.
  22. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
  23. Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick, 2010. "Intradaily dynamic portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2400-2418, November.
  24. Jin, Xin & Maheu, John M, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," MPRA Paper 55243, University Library of Munich, Germany.
  25. repec:zbw:rwirep:0243 is not listed on IDEAS
  26. Kwan, Clarence C.Y., 2008. "Estimation error in the average correlation of security returns and shrinkage estimation of covariance and correlation matrices," Finance Research Letters, Elsevier, vol. 5(4), pages 236-244, December.
  27. Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," CREA Discussion Paper Series 13-07, Center for Research in Economic Analysis, University of Luxembourg.
  28. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  29. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
  30. Hlouskova, Jaroslava & Schmidheiny, Kurt & Wagner, Martin, 2009. "Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 330-336, March.
  31. Caporin, M. & McAleer, M.J., 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers EI2012-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  32. Balli, Faruk & Hajhoj, Hassan Rafdan & Basher, Syed Abul & Ghassan, Hassan Belkacem, 2015. "An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 311-325.
  33. Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Documentos de Trabajo del ICAE 2011-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  34. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 12/04, University of Canterbury, Department of Economics and Finance.
  35. Juan Pablo Domínguez H., 2007. "Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 32(23), pages 63-90, january-j.
  36. Kirat, Djamel & Ahamada, Ibrahim, 2011. "The impact of the European Union emission trading scheme on the electricity-generation sector," Energy Economics, Elsevier, vol. 33(5), pages 995-1003, September.
  37. John T. Cuddington & Arturo L. Va'squez Cordano, 2013. "Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses," Working Papers 2013-09, Colorado School of Mines, Division of Economics and Business.
  38. Costas Karfakis & Theodore Panagiotidis, 2014. "The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets," Discussion Paper Series 2014_01, Department of Economics, University of Macedonia, revised Sep 2014.
  39. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
  40. repec:wyi:journl:002100 is not listed on IDEAS
  41. Jeffrey Racine, 2015. "Mixed data kernel copulas," Empirical Economics, Springer, vol. 48(1), pages 37-59, February.
  42. Carroll, Rachael & Kearney, Colm, 2015. "Testing the mixture of distributions hypothesis on target stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 1-14.
  43. Allen, D.E. & McAleer, M.J. & Amram, R., 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Econometric Institute Research Papers EI 2011-44, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  44. Basher, Syed Abul & Sadorsky, Perry, 2016. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," Energy Economics, Elsevier, vol. 54(C), pages 235-247.
  45. Rothonis, Stephanie & Tran, Duy & Wu, Eliza, 2016. "Does national culture affect the intensity of volatility linkages in international equity markets?," Research in International Business and Finance, Elsevier, vol. 36(C), pages 85-95.
  46. Drew Creal & Siem Jan Koopman & André Lucas, 2011. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 552-563, October.
  47. Boudt, Kris & Croux, Christophe, 2010. "Robust M-estimation of multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2459-2469, November.
  48. repec:got:cegedp:89 is not listed on IDEAS
  49. Luc, BAUWENS & Walid, BEN OMRANE & Erick, Rengifo, 2006. "Intra-Daily FX Optimal Portfolio Allocation," Discussion Papers (ECON - Département des Sciences Economiques) 2006005, Université catholique de Louvain, Département des Sciences Economiques.
  50. BAUWENS, Luc & ROMBOUTS, Jeroen VK, . "Bayesian clustering of many GARCH models," CORE Discussion Papers RP 1916, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  51. Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005 40, Society for Computational Economics.
  52. Hafner, Christian M. & Reznikova, Olga, 2012. "On the estimation of dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3533-3545.
  53. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  54. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela ben, 2015. "Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 311-329.
  55. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2009. "Block Structure Multivariate Stochastic Volatility Models," CIRJE F-Series CIRJE-F-699, CIRJE, Faculty of Economics, University of Tokyo.
  56. López Cabrera, Brenda & Schulz, Franziska, 2016. "Volatility linkages between energy and agricultural commodity prices," Energy Economics, Elsevier, vol. 54(C), pages 190-203.
  57. Roxana Chiriac & Valeri Voev, 2011. "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 922-947, 09.
  58. Wagner Oliveira Monteiro & Rodrigo De Losso da Silveira Bueno, 2011. "Dynamic Hedging inMarkov Regimes Switching," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 136, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  59. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
  60. Palandri, Alessandro, 2009. "Sequential conditional correlations: Inference and evaluation," Journal of Econometrics, Elsevier, vol. 153(2), pages 122-132, December.
  61. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
  62. Maria Grydaki & Stilianos Fountas, 2010. "What Explains Output Volatility? Evidence from the G3," Discussion Paper Series 2010_09, Department of Economics, University of Macedonia, revised Jul 2010.
  63. Vander Elst, Harry & Veredas, David, 2014. "Disentangled jump-robust realized covariances and correlations with non-synchronous prices," DES - Working Papers. Statistics and Econometrics. WS ws142416, Universidad Carlos III de Madrid. Departamento de Estadística.
  64. Oral Erdogan & Harald Schmidbauer, 2006. "Investors’ Selection Between Two Financial Markets: A Conditional Correlation Approach," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(30), pages 1-18.
  65. Jacek Osiewalski & Anna Pajor, 2009. "Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(2), pages 179-202, November.
  66. André A. P. Santos & Francisco J. Nogales & Esther Ruiz, 2013. "Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 400-441, March.
  67. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005.
  68. Claudio, Morana, 2015. "Semiparametric Estimation of Multivariate GARCH Models," Working Papers 317, University of Milano-Bicocca, Department of Economics, revised 10 Dec 2015.
  69. Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
  70. Farhat Iqbal, 2013. "Robust estimation of the simplified multivariate GARCH model," Empirical Economics, Springer, vol. 44(3), pages 1353-1372, June.
  71. Leoni Eleni Oikonomikou, 2016. "Modeling Financial Market Volatility in Transition Markets: A Multivariate Case," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 204, Courant Research Centre PEG.
  72. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Working papers 159, Banque de France.
  73. Kaijian He & Kin Keung Lai & Guocheng Xiang, 2012. "Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach," Energies, MDPI, Open Access Journal, vol. 5(4), pages 1018, April.
  74. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
  75. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663.
  76. Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  77. Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics 10/03, University of Canterbury, Department of Economics and Finance.
  78. David Büttner & Bernd Hayo, 2009. "News and Correlations of CEEC-3 Financial Markets," MAGKS Papers on Economics 200944, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  79. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers 2010-19, Department of Economics and Business Economics, Aarhus University.
  80. Peña, Daniel & González-Prieto, Ester & García-Ferrer, Antonio, 2008. "A multivariate generalized independent factor GARCH model with an application to financial stock returns," DES - Working Papers. Statistics and Econometrics. WS ws087528, Universidad Carlos III de Madrid. Departamento de Estadística.
  81. Baba, Naohiko & Inada, Masakazu, 2009. "Price discovery of subordinated credit spreads for Japanese mega-banks: Evidence from bond and credit default swap markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 616-632, October.
  82. Dungey, Mardi & Dwyer, Gerald P. & Flavin, Thomas, 2011. "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Working Papers 11817, University of Tasmania, Tasmanian School of Business and Economics.
  83. Grier, Kevin B. & Smallwood, Aaron D., 2013. "Exchange rate shocks and trade: A multivariate GARCH-M approach," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 282-305.
  84. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
  85. Anufriev, Mikhail & Panchenko, Valentyn, 2015. "Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S241-S255.
  86. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2015. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Tinbergen Institute Discussion Papers 15-140/III, Tinbergen Institute.
  87. Christian M. Hafner & Oliver Linton, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Post-Print hal-00732539, HAL.
  88. Christian Conrad & Menelaos Karanasos, 2008. "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," KOF Working papers 08-189, KOF Swiss Economic Institute, ETH Zurich.
  89. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  90. repec:ipg:wpaper:2014-444 is not listed on IDEAS
  91. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series CARF-F-219, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  92. Carnero M. Angeles & Eratalay M. Hakan, 2014. "Estimating VAR-MGARCH models in multiple steps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 27, May.
  93. Enzo Weber, 2008. "Simultaneous Stochastic Volatility Transmission Across American Equity Markets," SFB 649 Discussion Papers SFB649DP2008-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  94. Chang, Kuang-Liang, 2012. "The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2298-2309.
  95. Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
    [Testing the contagion hypotheses using multivariate volatility models]
    ," MPRA Paper 10356, University Library of Munich, Germany.
  96. ÖZGÜR, Onur & BISIN, Alberto, 2011. "Dynamic linear economies with social interactions," Cahiers de recherche 2011-03, Universite de Montreal, Departement de sciences economiques.
  97. Naseri, Marjan & Masih, Mansur, 2014. "Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia," MPRA Paper 58799, University Library of Munich, Germany.
  98. Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
  99. Bekiros, Stelios D., 2014. "Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 58-69.
  100. Wan-Hsiu Cheng, 2008. "Overestimation in the Traditional GARCH Model During Jump Periods," Economics Bulletin, AccessEcon, vol. 3(68), pages 1-20.
  101. Vozlyublennaia, Nadia & Meshcheryakov, Artem, 2014. "Dynamic correlation structure and security risk," Journal of Economics and Business, Elsevier, vol. 73(C), pages 48-64.
  102. Ratti, Ronald A. & Hasan, M. Zahid, 2013. "Oil Price Shocks and Volatility in Australian Stock Returns ‎," MPRA Paper 49043, University Library of Munich, Germany.
  103. Philippe Charlot & Olivier Darné & Zakaria Moussa, 2014. "Commodity returns co-movements: Fundamentals or "style" effect?," Working Papers hal-01093631, HAL.
  104. Chrétien, Stéphane & Ortega, Juan-Pablo, 2014. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 210-236.
  105. Gribisch, Bastian, 2013. "A latent dynamic factor approach to forecasting multivariate stock market volatility," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79823, Verein für Socialpolitik / German Economic Association.
  106. Trancoso, Tiago, 2014. "Emerging markets in the global economic network: Real(ly) decoupling?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 499-510.
  107. Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.
  108. Lanne, Markku & Saikkonen, Pentti, 2007. "A Multivariate Generalized Orthogonal Factor GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 61-75, January.
  109. Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009. "Modelling conditional correlations for risk diversification in crude oil markets," Econometric Institute Research Papers EI 2009-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  110. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
  111. Pierre L. Siklos, 2008. "Determinants of Emerging Market Spreads: Domestic, Global Factors, and Volatility," Working Papers 182008, Hong Kong Institute for Monetary Research.
  112. repec:cte:wsrepe:es142416 is not listed on IDEAS
  113. Marsili, Matteo & Raffaelli, Giacomo & Ponsot, Benedicte, 2009. "Dynamic instability in generic model of multi-assets markets," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1170-1181, May.
  114. Ruiz, Esther & Fresoli, Diego, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS ws140202, Universidad Carlos III de Madrid. Departamento de Estadística.
  115. Manuel A. Hernandez & Raul Ibarra & Danilo R. Trupkin, 2014. "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 41(2), pages 301-325.
  116. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 3775, London School of Economics and Political Science, LSE Library.
  117. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
  118. Lucchetti, Riccardo & Palomba, Giulio, 2009. "Nonlinear adjustment in US bond yields: An empirical model with conditional heteroskedasticity," Economic Modelling, Elsevier, vol. 26(3), pages 659-667, May.
  119. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
  120. Liu, Ruipeng & Lux, Thomas, 2010. "Flexible and robust modelling of volatility comovements: a comparison of two multifractal models," Kiel Working Papers 1594, Kiel Institute for the World Economy (IfW).
  121. Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 327-340.
  122. Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010. "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers 0123, Dipartimento di Scienze Economiche "Marco Fanno".
  123. Manuela Braione & Nicolas K. Scholtes, 2016. "Forecasting Value-at-Risk under Different Distributional Assumptions," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 3, January.
  124. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 22571, East Asian Bureau of Economic Research.
  125. Paolo Guarda & Abdelaziz Rouabah, 2015. "Is the financial sector Luxembourg?s engine of growth?," BCL working papers 97, Central Bank of Luxembourg.
  126. Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011. "Modelación de los rendimientos bursátiles mexicanos mediante los modelos TGARCH y EGARCH: Un estudio econométrico para 30 acciones y el Índice de Precios y Cotizaciones
    [Modeling Mexican stock retu
    ," MPRA Paper 36872, University Library of Munich, Germany.
  127. Stephanos Papadamou & Thomas Markopoulos, 2014. "Investigating Intraday Interdependence Between Gold, Silver and Three Major Currencies: the Euro, British Pound and Japanese Yen," International Advances in Economic Research, International Atlantic Economic Society, vol. 20(4), pages 399-410, November.
  128. Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany.
  129. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques.
  130. Zolotko, Mikhail & Okhrin, Ostap, 2014. "Modelling the general dependence between commodity forward curves," Energy Economics, Elsevier, vol. 43(C), pages 284-296.
  131. Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany.
  132. Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012. "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 934-955, 09.
  133. Marco Avarucci & Eric Beutner & Paolo Zaffaroni, 2012. "On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models," DSS Empirical Economics and Econometrics Working Papers Series 2012/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  134. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos de Trabajo del ICAE 2013-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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  293. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2014. "Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 354-366.
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This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.