A practical multivariate approach to testing volatility spillover (Q6094458): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jedc.2023.104694
+Normal rank
@@ Property / OpenAlex ID @@
+W4380792843
@@ Property / OpenAlex ID: W4380792843 / rank @@
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Efficient minimum distance estimation with multiple rates of convergence
+Normal rank
@@ Property / cites work @@
+Modeling and forecasting exchange rate volatility in time-frequency domain
+Normal rank
@@ Property / cites work @@
+Persistence-robust surplus-lag Granger causality testing
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
+Normal rank
@@ Property / cites work @@
+Multivariate GARCH models for large-scale applications: A survey
+Normal rank
@@ Property / cites work @@
+A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series
+Normal rank
@@ Property / cites work @@
+THE BREXIT VOTE, INFLATION AND U.K. LIVING STANDARDS
+Normal rank
@@ Property / cites work @@
+Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
+Normal rank
@@ Property / cites work @@
+Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
+Normal rank
@@ Property / cites work @@
+TESTING FOR THE MARKOV PROPERTY IN TIME SERIES
@@ Property / cites work: TESTING FOR THE MARKOV PROPERTY IN TIME SERIES / rank @@
+Normal rank
@@ Property / cites work @@
+DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS
+Normal rank
@@ Property / cites work @@
+Second-Order Noncausality in Multivariate GARCH Processes
+Normal rank
@@ Property / cites work @@
+On consistent testing for serial correlation of unknown form in vector time series models.
+Normal rank
@@ Property / cites work @@
+Fat tails, serial dependence, and implied volatility index connections
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Modelling the persistence of conditional variances
+Normal rank
@@ Property / cites work @@
+Modeling risk contagion in the Italian zonal electricity market
+Normal rank
@@ Property / cites work @@
+ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
@@ Property / cites work: ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES / rank @@
+Normal rank
@@ Property / cites work @@
+Investigating Causal Relations by Econometric Models and Cross-spectral Methods
+Normal rank
@@ Property / cites work @@
+Temporal aggregation of multivariate GARCH processes
+Normal rank
@@ Property / cites work @@
+Q5612941
@@ Property / cites work: Q5612941 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4360236
@@ Property / cites work: Q4360236 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for independence between two covariance stationary time series
+Normal rank
@@ Property / cites work @@
+A test for volatility spillover with application to exchange rates
+Normal rank
@@ Property / cites work @@
+Granger causality in risk and detection of extreme risk spillover between financial markets
+Normal rank
@@ Property / cites work @@
+Prediction of multivariate time series by autoregressive model fitting
+Normal rank
@@ Property / cites work @@
+ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
+Normal rank
@@ Property / cites work @@
+Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
+Normal rank
@@ Property / cites work @@
+Q3323077
@@ Property / cites work: Q3323077 / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting the volatility of crude oil futures using intraday data
+Normal rank
@@ Property / cites work @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
+Normal rank