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The generalized asymmetric dynamic covariance model

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  • de Goeij, Peter
  • Marquering, Wessel

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  • de Goeij, Peter & Marquering, Wessel, 2005. "The generalized asymmetric dynamic covariance model," Finance Research Letters, Elsevier, vol. 2(2), pages 67-74, June.
    • Handle: RePEc:eee:finlet:v:2:y:2005:i:2:p:67-74
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    References listed on IDEAS

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    1. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
    2. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 93fe16c1-9f21-4dab-9b73-4, Tilburg University, School of Economics and Management.
    3. Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(1), pages 85-107, March.
    4. de Goeij, P. C. & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach," Other publications TiSEM 94fe5ada-715a-4339-b94c-f, Tilburg University, School of Economics and Management.
    5. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    6. Engle, Robert F & Ng, Victor K, 1993. "Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
    7. Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," The Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-844.
    8. Peter de Goeij, 2004. "Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 531-564.
    9. Wooldridge, Jeffrey M., 1990. "A Unified Approach to Robust, Regression-Based Specification Tests," Econometric Theory, Cambridge University Press, vol. 6(1), pages 17-43, March.
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    Cited by:

    1. Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012. "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-24, January.
    2. Soultanaeva, Albina, 2008. "Impact of Political News on the Baltic State Stock Markets," Umeå Economic Studies 735, Umeå University, Department of Economics.
    3. Wen, Xiaoqian & Guo, Yanfeng & Wei, Yu & Huang, Dengshi, 2014. "How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China," Energy Economics, Elsevier, vol. 41(C), pages 63-75.

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