GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
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- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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- Generalized autoregressive conditional heteroscedasticity
- On asymptotic tests of composite hypotheses in nonstandard conditions
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Cited in
(36)- Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
- Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
- Proximity-structured multivariate volatility models
- Forecasting conditional correlations in stock, bond and foreign exchange markets
- Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
- Multivariate GARCH models with correlation clustering
- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
- Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
- Variance clustering improved dynamic conditional correlation MGARCH estimators
- A multivariate threshold varying conditional correlations model
- Vector moving average models: a review
- A fractionally integrated Wishart stochastic volatility model
- Stationarity and invertibility of a dynamic correlation matrix.
- A neural network demand system with heteroskedastic errors
- Modeling conditional correlations of asset returns: a smooth transition approach
- A simple multivariate ARCH model specified by random coefficients
- Multivariate rotated ARCH models
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Multivariate hyper-rotated GARCH-BEKK
- A generalized dynamic conditional correlation model for portfolio risk evaluation
- Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
- Estimation of multivariate asymmetric power GARCH models
- On the stationarity of dynamic conditional correlation models
- Robust ranking of multivariate GARCH models by problem dimension
- Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
- Long memory and asymmetry for matrix-exponential dynamic correlation processes
- A multivariate conditional autoregressive range model
- A GARCH-variance dependent approach to modelize dynamic conditional correlations
- AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
- Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
- A component model for dynamic correlations
- On the estimation of dynamic conditional correlation models
- Conditional correlation via generalized random forests with application to hedge funds
- Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
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