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Citations for "Asymptotic theory for multivariate GARCH processes"

by Comte, F. & Lieberman, O.

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  1. Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Documentos de Trabajo del ICAE 2014-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE 0904, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. Sbrana, Giacomo & Poloni, Federico, 2013. "A closed-form estimator for the multivariate GARCH(1,1) model," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 152-162.
  4. Hartmann, Matthias & Roestel, Jan, 2013. "Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 98-112.
  5. Peter M Robinson & Paolo Zaffaroni, 2005. "Pseudo-Maximum Likelihood Estimation of ARCH(8) Models," STICERD - Econometrics Paper Series 495, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  6. Rezitis, Anthony N. & Stavropoulos, Konstantinos S., 2010. "Modeling beef supply response and price volatility under CAP reforms: The case of Greece," Food Policy, Elsevier, vol. 35(2), pages 163-174, April.
  7. 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.
  8. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility with Bayesian dynamic linear models," Papers 0802.0214, arXiv.org.
  9. Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
  10. Mika Meitz & Pentti Saikkonen, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics.
  11. Thieu, Le Quyen, 2016. "Variance targeting estimation of the BEKK-X model," MPRA Paper 75572, University Library of Munich, Germany.
  12. Lee, Sangyeol & Ng, Chi Tim, 2011. "Normality test for multivariate conditional heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 111(1), pages 75-77, April.
  13. Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit Root Vector Autoregression with volatility Induced Stationarity," CREATES Research Papers 2012-29, Department of Economics and Business Economics, Aarhus University.
  14. van Dieijen, M. & Borah, A. & Tellis, G.J. & Franses, Ph.H.B.F., 2016. "Volatility Spillovers Across User-Generated Content and Stock Market Performance," ERIM Report Series Research in Management ERS-2016-008-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  15. Caporin, M. & McAleer, M.J., 2010. "Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH," Econometric Institute Research Papers EI 2010-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  16. Enzo Weber, 2010. "Volatility and causality in Asia Pacific financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1269-1292.
  17. Hafner, C.M. & Herwartz, H., 2003. "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Research Papers EI 2003-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  18. Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Working Papers in Economics 11/23, University of Canterbury, Department of Economics and Finance.
  19. Stelios D. Bekiros, 2013. "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper Series 21_13, The Rimini Centre for Economic Analysis.
  20. repec:hal:journl:peer-00732539 is not listed on IDEAS
  21. Halunga, Andreea G. & Orme, Chris D., 2009. "First-Order Asymptotic Theory For Parametric Misspecification Tests Of Garch Models," Econometric Theory, Cambridge University Press, vol. 25(02), pages 364-410, April.
  22. Bauer, Dietmar, 2008. "Using Subspace Methods For Estimating Arma Models For Multivariate Time Series With Conditionally Heteroskedastic Innovations," Econometric Theory, Cambridge University Press, vol. 24(04), pages 1063-1092, August.
  23. Christian M. Hafner & Oliver Linton, 2009. "Efficient Estimation of a Multivariate Multiplicative Volatility Model," STICERD - Econometrics Paper Series 541, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  24. Caporin, M. & McAleer, M.J., 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Research Papers EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  25. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  26. Arie Preminger & Christian M. Hafner, 2006. "Asymptotic Theory For A Factor Garch Model," Working Papers 0608, Ben-Gurion University of the Negev, Department of Economics.
  27. K. Diamantopoulos & I. Vrontos, 2010. "A Student-t Full Factor Multivariate GARCH Model," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 63-83, January.
  28. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  29. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2015-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  30. Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE 2015-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  31. Weber, Enzo, 2007. "Who Leads Financial Markets?," MPRA Paper 5099, University Library of Munich, Germany, revised Oct 2007.
  32. Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Tinbergen Institute Discussion Papers 16-071/III, Tinbergen Institute.
  33. Francq, Christian & Zakoian, Jean-Michel, 2010. "QML estimation of a class of multivariate GARCH models without moment conditions on the observed process," MPRA Paper 20779, University Library of Munich, Germany.
  34. Peter M. Robinson & Paolo Zafaroni, 2005. "Pseudo-maximum likelihood estimation of ARCH models," LSE Research Online Documents on Economics 4544, London School of Economics and Political Science, LSE Library.
  35. Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
  36. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 16-084/III, Tinbergen Institute.
  37. Rasmus Søndergaard Pedersen, 2014. "Targeting estimation of CCC-Garch models with infinite fourth moments," Discussion Papers 14-04, University of Copenhagen. Department of Economics.
  38. Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016. "Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
  39. Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger, 2016. "Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets," Working Papers 2016:2, Lund University, Department of Economics, revised 02 Feb 2016.
  40. Boudt, Kris & Croux, Christophe, 2010. "Robust M-estimation of multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2459-2469, November.
  41. Hafner, C.M., 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Institute Research Papers EI 2004-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  42. 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.
  43. Hecq Alain & Laurent Sébastien & Palm Franz, 2011. "On the Univariate Representation of Multivariate Volatility Models with Common Factors," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  44. Chan, F. & McAleer, M.J. & Medeiros, M.C., 2011. "Structure and Asymptotic theory for Nonlinear Models with GARCH Errors," Econometric Institute Research Papers EI 2010-79, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  45. Lanne, Markku & Saikkonen, Pentti, 2005. "A Multivariate Generalized Orthogonal Factor GARCH Model," MPRA Paper 23714, University Library of Munich, Germany.
  46. Hafner, Christian M. & Herwartz, Helmut, 2004. "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers 2004,03, Christian-Albrechts-University of Kiel, Department of Economics.
  47. Poloni, Federico & Sbrana, Giacomo, 2014. "Feasible generalized least squares estimation of multivariate GARCH(1, 1) models," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 151-159.
  48. Schreiber, Irene & Müller, Gernot & Klüppelberg, Claudia & Wagner, Niklas, 2012. "Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 57-65.
  49. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
  50. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, Department of Economics, University of Venice "Ca' Foscari".
  51. 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.
  52. Rezitis Anthony N & Stavropoulos Konstantinos S, 2011. "Price Transmission and Volatility in the Greek Broiler Sector: A Threshold Cointegration Analysis," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 9(1), pages 1-37, July.
  53. Peter M. Robinson & Paolo Zaffaroni, 2005. "Pseudo-maximum likelihood estimation of ARCH(∞) models," LSE Research Online Documents on Economics 58182, London School of Economics and Political Science, LSE Library.
  54. Peter Boswijk, H. & van der Weide, Roy, 2011. "Method of moments estimation of GO-GARCH models," Journal of Econometrics, Elsevier, vol. 163(1), pages 118-126, July.
  55. Massimiliano Caporin & Michael McAleer, 2008. "Scalar BEKK and indirect DCC," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 537-549.
  56. Olan T. Henry & Nilss Olekalns & Sandy Suardi, 2005. "Equity Return and Short-Term Interest Rate Volatility : Level Effects and Asymmetric Dynamics," Department of Economics - Working Papers Series 941, The University of Melbourne.
  57. 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.
  58. Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil).
  59. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
  60. Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric, 2011. "A component model for dynamic correlations," Journal of Econometrics, Elsevier, vol. 164(1), pages 45-59, September.
  61. Jondeau, Eric, 2015. "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 80-93.
  62. 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.
  63. Resende, Paulo Angelo Alves & Dorea, Chang Chung Yu, 2016. "Model identification using the Efficient Determination Criterion," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 229-244.
  64. Wasel Shadat & Chris Orme, 2011. "An investigation of parametric tests of CCC assumption," The School of Economics Discussion Paper Series 1109, Economics, The University of Manchester.
  65. Emma M. Iglesias & Garry D.A. Phillips, 2004. "Multivariate Arch Models: Finite Sample Properties Of Ml Estimators And An Application To An Lm-Type Test," Working Papers. Serie AD 2004-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  66. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Estimation of temporally aggregated multivariate GARCH models," CORE Discussion Papers 2003073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  67. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
  68. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper 72197, University Library of Munich, Germany, revised 10 Jun 2016.
  69. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
  70. Tomasz Wozniak, 2015. "Granger-causal analysis of GARCH models: a Bayesian approach "Abstract: A multivariate GARCH model is used to investigate Granger causality in the conditional variance of time series. Parametric ," Department of Economics - Working Papers Series 1194, The University of Melbourne.
  71. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH models," Economics Series Working Papers 594, University of Oxford, Department of Economics.
  72. Thieu, Le Quyen, 2016. "Equation by equation estimation of the semi-diagonal BEKK model with covariates," MPRA Paper 75582, University Library of Munich, Germany.
  73. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
  74. Ruiz, Esther & Hotta, Luiz & Almeida, Daniel De, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de Estadística.
  75. Boussama, Farid & Fuchs, Florian & Stelzer, Robert, 2011. "Stationarity and geometric ergodicity of BEKK multivariate GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 121(10), pages 2331-2360, October.
  76. Antonis Demos & Dimitra Kyriakopoulou, 2010. "Bias Correction of ML and QML Estimators in the EGARCH(1,1) Model," DEOS Working Papers 1108, Athens University of Economics and Business.
  77. Hafner, Christian M. & Preminger, Arie, 2009. "On asymptotic theory for multivariate GARCH models," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2044-2054, October.
  78. Sun, Xiaolei & Li, Jianping & Tang, Ling & Wu, Dengsheng, 2012. "Identifying the risk-return tradeoff and exploring the dynamic risk exposure of country portfolio of the FSU's oil economies," Economic Modelling, Elsevier, vol. 29(6), pages 2494-2503.
  79. Huang, Shian-Chang, 2011. "Wavelet-based multi-resolution GARCH model for financial spillover effects," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2529-2539.
  80. Vidal-Sanz, Jose M. & Yildirim, Gökhan & Esteban-Bravo, Mercedes, 2011. "Can we curb retail sales volatility through marketing mix actions?," DEE - Working Papers. Business Economics. WB wb112407, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  81. Shimizu Kenichi, 2013. "The bootstrap does not alwayswork for heteroscedasticmodels," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 189-204, August.
  82. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 719-740, August.
  83. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria.
  84. Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
  85. Fernández, Begoña & Muriel, Nelson, 2009. "Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1538-1550, August.
  86. Hagströmer, Björn & Hansson, Björn & Nilsson, Birger, 2013. "The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4476-4487.
  87. Bozic, Marin, 2011. "Three essays in commodity futures and options price performance," Faculty Theses and Dissertations 160678, University of Minnesota, Department of Applied Economics.
  88. van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M., 2005. "Bivariate option pricing using dynamic copula models," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 101-114, August.
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