Forecasting conditional correlations in stock, bond and foreign exchange markets
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Cites work
- An econometric analysis of asymmetric volatility: theory and application to patents
- Asymptotic theory for a vector ARMA-GARCH model
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Forecasting conditional correlations in stock, bond and foreign exchange markets
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- Generalized autoregressive conditional heteroscedasticity
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
- Testing for a unit root in time series regression
Cited in
(5)- Correlation structure forecasting \& ex ante portfolio selection strategies in the Japan market
- Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market.
- Currency hedging strategies using dynamic multivariate GARCH
- Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
- Forecasting conditional correlations in stock, bond and foreign exchange markets
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