Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk (Q929674): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.matcom.2008.01.031
+Normal rank
@@ Property / OpenAlex ID @@
+W2086750400
@@ Property / OpenAlex ID: W2086750400 / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
+Normal rank
@@ Property / cites work @@
+Investigating Causal Relations by Econometric Models and Cross-spectral Methods
+Normal rank
@@ Property / cites work @@
+A test for volatility spillover with application to exchange rates
+Normal rank
@@ Property / cites work @@
+NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE  GARCH(<i>r</i>,<i>s</i>) AND ASYMMETRIC POWER  GARCH(<i>r</i>,<i>s</i>) MODELS
+Normal rank
@@ Property / cites work @@
+Stationarity and the existence of moments of a family of GARCH processes.
+Normal rank
@@ Property / cites work @@
+AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
+Normal rank
@@ Property / cites work @@
+GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
+Normal rank