My bibliography
Save this item
Generalized Orthogonal GARCH. A Multivariate GARCH model
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos, 2019. "Covariance Prediction in Large Portfolio Allocation," Econometrics, MDPI, vol. 7(2), pages 1-24, May.
- Han, Chulwoo & Park, Frank C., 2022. "A geometric framework for covariance dynamics," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
- Manabu Asai & Michael McAleer, 2009.
"Dynamic Conditional Correlations for Asymmetric Processes,"
CIRJE F-Series
CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo.
- Manabu Asai & Michael McAleer, 2011. "Dynamic Conditional Correlations for Asymmetric Processes," Documentos de Trabajo del ICAE 2011-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CARF F-Series CARF-F-168, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Manabu Asai & Michael McAleer, 2010. "Dynamic Conditional Correlations for Asymmetric Processes," Working Papers in Economics 10/76, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Michael McAleer, 2010. "Dynamic Conditional Correlations for Asymmetric Processes," KIER Working Papers 747, Kyoto University, Institute of Economic Research.
- Asai, M. & McAleer, M.J., 2010. "Dynamic Conditional Correlations for Asymmetric Processes," Econometric Institute Research Papers EI 2010-76, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022.
"Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
- Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Xiaoning Kang & Xinwei Deng & Kam‐Wah Tsui & Mohsen Pourahmadi, 2020. "On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices," International Statistical Review, International Statistical Institute, vol. 88(3), pages 616-641, December.
- Javier Sánchez García & Salvador Cruz Rambaud, 2022. "A GARCH approach to model short‐term interest rates: Evidence from Spanish economy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1621-1632, April.
- Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008.
"Modelling multivariate volatilities via conditionally uncorrelated components,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 679-702, September.
- Fan, Jianqing & Wang, Mingjin & Yao, Qiwei, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," LSE Research Online Documents on Economics 22875, London School of Economics and Political Science, LSE Library.
- Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
- Pier Francesco Procacci & Tomaso Aste, 2022. "Portfolio optimization with sparse multivariate modeling," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 445-465, October.
- Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone, 2022.
"Identification of structural multivariate GARCH models,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 212-227.
- HAFNER Christian, & HERWARTZ Helmut, & MAXAND Simone,, 2018. "Identification of structural multivariate GARCH models," LIDAM Discussion Papers CORE 2018020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian & Herwartz, Helmut & Maxand, Simone, 2020. "Identification of structural multivariate GARCH models," LIDAM Reprints ISBA 2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2023. "Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Roy van der Weide, 2004.
"Wake me up before you GO-GARCH,"
Computing in Economics and Finance 2004
316, Society for Computational Economics.
- Boswijk, H.P. & Weide, R. van der, 2006. "Wake me up before you GO-GARCH," CeNDEF Working Papers 06-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- H. Peter Boswijk & Roy van der Weide, 2006. "Wake me up before you GO-GARCH," Tinbergen Institute Discussion Papers 06-079/4, Tinbergen Institute, revised 21 Sep 2006.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- João Caldeira & Guilherme Moura & André A.P. Santos, 2012. "Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 32(3), pages 1848-1857.
- Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018.
"Asymptotics of Cholesky GARCH models and time-varying conditional betas,"
Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2016. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590533, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590251, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, France.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590232, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590471, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
- Serge Darolles & Christian Francq & Sebastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590180, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-01980815, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590522, HAL.
- Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
- Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
- Magnus, Jan R. & Pijls, Henk G.J. & Sentana, Enrique, 2021.
"The Jacobian of the exponential function,"
Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Jan R. Magnus & Henk G. J. Pijls & Enrique Sentana, 2020. "The Jacobian of the Exponential Function," Working Papers wp2020_2005, CEMFI.
- Jan R. Magnus & Henk G.J. Pijls & Enrique Sentana, 2020. "The Jacobian of the exponential function," Tinbergen Institute Discussion Papers 20-035/III, Tinbergen Institute.
- Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch, 2013.
"Central bank communication and correlation between financial markets: Canada and the United States,"
International Economics and Economic Policy, Springer, vol. 10(2), pages 277-296, June.
- Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch, 2012. "Central Bank Communication and Correlation between Financial Markets: Canada and the United States," MAGKS Papers on Economics 201201, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Lütkepohl, Helmut & Netšunajev, Aleksei, 2015.
"Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models,"
SFB 649 Discussion Papers
2015-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Helmut Lütkepohl & Aleksei Netsunajev, 2015. "Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models," Discussion Papers of DIW Berlin 1464, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Aleksei Netšunajev, 2015. "Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models," CESifo Working Paper Series 5308, CESifo.
- Lütkepohl, Helmut & Schlaak, Thore, 2019.
"Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
- Helmut Lütkepohl & Thore Schlaak, 2018. "Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH," Discussion Papers of DIW Berlin 1750, DIW Berlin, German Institute for Economic Research.
- Manuel A. Hernandez & Raul Ibarra & Danilo R. Trupkin, 2014.
"How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets,"
European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 41(2), pages 301-325.
- Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., "undated". "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 124979, International Association of Agricultural Economists.
- Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., 2011. "How far do shocks move across borders?: Examining volatility transmission in major agricultural futures markets," IFPRI discussion papers 1109, International Food Policy Research Institute (IFPRI).
- Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., 2012. "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122511, European Association of Agricultural Economists.
- Manuel Hernandez & Raul Ibarra & Danilo Trupkin, 2011. "How far do shocks move across borders?Examining volatility transmission in major agricultural futures markets," Documentos de Trabajo/Working Papers 1109, Facultad de Ciencias Empresariales y Economia. Universidad de Montevideo..
- Hernández Manuel A. & Ibarra-Ramírez Raúl & Trupkin Danilo R., 2011. "How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets," Working Papers 2011-15, Banco de México.
- Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
- García-Ferrer, Antonio & González-Prieto, Ester, 2008. "A multivariate generalized independent factor GARCH model with an application to financial stock returns," DES - Working Papers. Statistics and Econometrics. WS ws087528, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
- Moses K. Tule & Umar B. Ndako & Samuel F. Onipede, 2017. "Oil price shocks and volatility spillovers in the Nigerian sovereign bond market," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 57-65, November.
- Cho, Haeran & Korkas, Karolos K., 2022. "High-dimensional GARCH process segmentation with an application to Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 23(C), pages 187-203.
- Lucchetti, Riccardo & Palomba, Giulio, 2009. "Nonlinear adjustment in US bond yields: An empirical model with conditional heteroskedasticity," Economic Modelling, Elsevier, vol. 26(3), pages 659-667, May.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007.
"Multivariate GARCH models,"
SSE/EFI Working Paper Series in Economics and Finance
669, Stockholm School of Economics, revised 18 Jan 2008.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
- Wu, Bi-Bo, 2021. "The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?," Journal of Commodity Markets, Elsevier, vol. 23(C).
- Mohamed Yousfi & Abderrazak Dhaoui & Houssam Bouzgarrou, 2021. "Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management," JRFM, MDPI, vol. 14(5), pages 1-29, May.
- LI, Jie & HUANG, Lixin & LI, Ping, 2021. "Are Chinese crude oil futures good hedging tools?," Finance Research Letters, Elsevier, vol. 38(C).
- Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 327-340.
- Jiang, Yonghong & Lie, Jiayi & Wang, Jieru & Mu, Jinqi, 2021. "Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective," Economic Modelling, Elsevier, vol. 95(C), pages 21-34.
- Helmut Lütkepohl & Thore Schlaak, 2018.
"Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(4), pages 715-735, August.
- Lütkepohl, Helmut & Schlaak, Thore, 2018. "Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 4, pages 715-735.
- Helmut Lütkepohl & Thore Schlaak, 2017. "Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1672, DIW Berlin, German Institute for Economic Research.
- Stephen Hall & George Hondroyiannis, 2006.
"Measuring the correlation of shocks between the EU15 and the new member countries,"
Economic Change and Restructuring, Springer, vol. 39(1), pages 19-34, June.
- Stephen G. Hall & George Hondroyiannis, 2006. "Measuring the Correlation of Shocks betweem the EU15 and the New Member Countries," Working Papers 31, Bank of Greece.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction," LEM Papers Series 2006/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Christian Hafner & Helmut Herwartz, 2008.
"Analytical quasi maximum likelihood inference in multivariate volatility models,"
Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(2), pages 219-239, March.
- Hafner, C.M. & Herwartz, H., 2003. "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Research Papers EI 2003-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010.
"Testing for co-integration in vector autoregressions with non-stationary volatility,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007. "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics.
- Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Syed Ali, 2018. "Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach," Resources Policy, Elsevier, vol. 57(C), pages 10-29.
- Asai, Manabu & McAleer, Michael, 2015.
"Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance,"
Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Groba, Jonatan & Lafuente, Juan A. & Serrano, Pedro, 2013. "The impact of distressed economies on the EU sovereign market," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2520-2532.
- Stefan Bruder, 2018. "Inference for structural impulse responses in SVAR-GARCH models," ECON - Working Papers 281, Department of Economics - University of Zurich.
- Kumiega, Andrew & Neururer, Thaddeus & Van Vliet, Ben, 2011. "Independent component analysis for realized volatility: Analysis of the stock market crash of 2008," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 292-302, June.
- Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
- Herwartz, Helmut & Raters, Fabian H.C., 2015. "Copula-MGARCH with continuous covariance decomposition," Economics Letters, Elsevier, vol. 133(C), pages 73-76.
- Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011. "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers 11-078/2/DSF22, Tinbergen Institute.
- Nikolaos A. Kyriazis, 2020. "Is Bitcoin Similar to Gold? An Integrated Overview of Empirical Findings," JRFM, MDPI, vol. 13(5), pages 1-19, May.
- Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014.
"Multivariate rotated ARCH models,"
Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH models," Economics Series Working Papers 594, University of Oxford, Department of Economics.
- Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Scholarly Articles 34650305, Harvard University Department of Economics.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH Models," Economics Papers 2012-W01, Economics Group, Nuffield College, University of Oxford.
- Jarjour, Riad & Chan, Kung-Sik, 2020. "Dynamic conditional angular correlation," Journal of Econometrics, Elsevier, vol. 216(1), pages 137-150.
- Morana, Claudio, 2019.
"Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices,"
Econometrics and Statistics, Elsevier, vol. 12(C), pages 42-65.
- Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.
- Chrétien, Stéphane & Ortega, Juan-Pablo, 2014. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 210-236.
- Peter Boswijk, H. & van der Weide, Roy, 2011. "Method of moments estimation of GO-GARCH models," Journal of Econometrics, Elsevier, vol. 163(1), pages 118-126, July.
- Zexuan Yin & Paolo Barucca, 2022. "Neural Generalised AutoRegressive Conditional Heteroskedasticity," Papers 2202.11285, arXiv.org.
- Andrea Silvestrini & David Veredas, 2008.
"Temporal Aggregation Of Univariate And Multivariate Time Series Models: A Survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 22(3), pages 458-497, July.
- Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research and International Relations Area.
- Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: a survey," ULB Institutional Repository 2013/136205, ULB -- Universite Libre de Bruxelles.
- SILVESTRINI, Andrea & VEREDAS, David, 2009. "Temporal aggregation of univariate and multivariate time series models: A survey," LIDAM Reprints CORE 2013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Cui, Yan & Feng, Yun, 2020. "Composite hedge and utility maximization for optimal futures hedging," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 15-32.
- Kasper Johansson & Mehmet Giray Ogut & Markus Pelger & Thomas Schmelzer & Stephen Boyd, 2023. "A Simple Method for Predicting Covariance Matrices of Financial Returns," Papers 2305.19484, arXiv.org, revised Nov 2023.
- Caporin, Massimiliano & McAleer, Michael, 2014.
"Robust ranking of multivariate GARCH models by problem dimension,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 172-185.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 12/06, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos de Trabajo del ICAE 2012-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
- Caporin, M. & McAleer, M.J., 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers EI2012-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012.
"On the forecasting accuracy of multivariate GARCH models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 934-955, September.
- LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010. "On the forecasting accuracy of multivariate GARCH models," LIDAM Discussion Papers CORE 2010025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
- Ali, Sajid & Raza, Naveed & Vinh Vo, Xuan & Le, Van, 2022. "Modelling the joint dynamics of financial assets using MGARCH family models: Insights into hedging and diversification strategies," Resources Policy, Elsevier, vol. 78(C).
- Sharma, Udayan & Karmakar, Madhusudan, 2023. "Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020.
"Estimation of a multiplicative correlation structure in the large dimensional case,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
- Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
- Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA 2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Kei Nakagawa & Yusuke Uchiyama, 2020. "GO-GJRSK Model with Application to Higher Order Risk-Based Portfolio," Mathematics, MDPI, vol. 8(11), pages 1-12, November.
- Alp, Tansel & Demetrescu, Matei, 2010. "Joint forecasts of Dow Jones stocks under general multivariate loss function," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2360-2371, November.
- Sarwar, Suleman & Khalfaoui, Rabeh & Waheed, Rida & Dastgerdi, Hamidreza Ghorbani, 2019.
"Volatility spillovers and hedging: Evidence from Asian oil-importing countries,"
Resources Policy, Elsevier, vol. 61(C), pages 479-488.
- Suleman Sarwar & Rabeh Khalfaoui & Rida Waheed & Hamidreza Ghorbani Dastgerdi, 2019. "Volatility spillovers and hedging: Evidence from Asian oil-importing countries," Post-Print hal-03797591, HAL.
- Helmut Lütkepohl & Anton Velinov, 2016.
"Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions Via Heteroskedasticity,"
Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 377-392, April.
- Lütkepohl, Helmut & Velinov, Anton, 2016. "Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 30, pages 377-392.
- Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity," CESifo Working Paper Series 4651, CESifo.
- Lütkepohl, Helmut & Velinov, Anton, 2014. "Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity," SFB 649 Discussion Papers 2014-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin 1356, DIW Berlin, German Institute for Economic Research.
- Dominik Bertsche & Robin Braun, 2022.
"Identification of Structural Vector Autoregressions by Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 328-341, January.
- Dominik Bertsche & Robin Braun, 2017. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2017-11, Department of Economics, University of Konstanz.
- Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
- Bertsche, Dominik & Braun, Robin, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181631, Verein für Socialpolitik / German Economic Association.
- Bertsche, Dominik & Braun, Robin, 2020. "Identification of structural vector autoregressions by stochastic volatility," Bank of England working papers 869, Bank of England.
- Zolotko, Mikhail & Okhrin, Ostap, 2014.
"Modelling the general dependence between commodity forward curves,"
Energy Economics, Elsevier, vol. 43(C), pages 284-296.
- Zolotko, Mikhail & Okhrin, Ostap, 2012. "Modelling general dependence between commodity forward curves," SFB 649 Discussion Papers 2012-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hafner, Christian M. & Linton, Oliver, 2010.
"Efficient estimation of a multivariate multiplicative volatility model,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 55-73, November.
- Christian M. Hafner & Oliver Linton, 2009. "Efficient Estimation of a Multivariate Multiplicative Volatility Model," STICERD - Econometrics Paper Series 541, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Christian M. Hafner & Oliver Linton, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Post-Print hal-00732539, HAL.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010.
"Cointegration Rank Testing Under Conditional Heteroskedasticity,"
Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, Department of Economics and Business Economics, Aarhus University.
- Takashi Isogai, 2015. "An Empirical Study of the Dynamic Correlation of Japanese Stock Returns," Bank of Japan Working Paper Series 15-E-7, Bank of Japan.
- Rosenow, Bernd, 2008. "Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 279-302, January.
- Płuciennik Piotr, 2012. "Influence of the American Financial Market on Other Markets During the Subprime Crisis," Folia Oeconomica Stetinensia, Sciendo, vol. 12(2), pages 19-30, December.
- Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
- Andrea BUCCI, 2017.
"Forecasting Realized Volatility A Review,"
Journal of Advanced Studies in Finance, ASERS Publishing, vol. 8(2), pages 94-138.
- Bucci, Andrea, 2017. "Forecasting realized volatility: a review," MPRA Paper 83232, University Library of Munich, Germany.
- M. Raddant & T. Di Matteo, 2023.
"A look at financial dependencies by means of econophysics and financial economics,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(4), pages 701-734, October.
- M. Raddant & T. Di Matteo, 2023. "A Look at Financial Dependencies by Means of Econophysics and Financial Economics," Papers 2302.08208, arXiv.org.
- Amel Melki & Ahmed Ghorbel, 2023. "Which Commodity Sectors Effectively Hedge Emerging Eastern European Stock Markets? Evidence from MGARCH Models," Commodities, MDPI, vol. 2(3), pages 1-19, August.
- Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
- Bhatia, Vaneet & Das, Debojyoti & Kumar, Surya Bhushan, 2020. "Hedging effectiveness of precious metals across frequencies: Evidence from Wavelet based Dynamic Conditional Correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
- Barigozzi, Matteo & Hallin, Marc, 2017.
"Generalized dynamic factor models and volatilities: estimation and forecasting,"
Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
- Matteo Barigozzi & Marc Hallin, 2015. "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities estimation and forecasting," LSE Research Online Documents on Economics 67455, London School of Economics and Political Science, LSE Library.
- repec:cte:wsrepe:ws141711 is not listed on IDEAS
- Vincenzo Candila, 2013. "A Comparison of the Forecasting Performances of Multivariate Volatility Models," Working Papers 3_228, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chakraborty, Sandip & Kakani, Ram Kumar, 2016. "Institutional investment, equity volume and volatility spillover: Causalities and asymmetries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 1-20.
- Hafner, Christian M., 2008.
"Temporal aggregation of multivariate GARCH processes,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 467-483, January.
- Hafner, C.M., 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Institute Research Papers EI 2004-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
- Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022.
"Next generation models for portfolio risk management: An approach using financial big data,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
- Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2021. "Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data," Papers 2102.12783, arXiv.org, revised Feb 2022.
- H. J. Turtle & Kainan Wang, 2014. "Modeling Conditional Covariances With Economic Information Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 217-236, April.
- Cheng Yu & Dong Li & Feiyu Jiang & Ke Zhu, 2023. "Matrix GARCH Model: Inference and Application," Papers 2306.05169, arXiv.org.
- Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
- repec:bgu:wpaper:0608 is not listed on IDEAS
- Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating multivariate volatility models equation by equation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 613-635, June.
- Claudio, Morana, 2015.
"Semiparametric Estimation of Multivariate GARCH Models,"
Working Papers
317, University of Milano-Bicocca, Department of Economics, revised 10 Dec 2015.
- Claudio Morana, 2017. "Semiparametric Estimation of Multivariate GARCH Models," Working Paper series 17-02, Rimini Centre for Economic Analysis.
- Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013.
"On loss functions and ranking forecasting performances of multivariate volatility models,"
Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
- Sébastien Laurent & Jeroen Rombouts & Francesco Violente, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," CIRANO Working Papers 2009s-45, CIRANO.
- Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," Cahiers de recherche 0948, CIRPEE.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, Robert, 2010. "Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 28, pages 519-552, Diciembre.
- Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
- Francq, Christian & Zakoian, Jean-Michel, 2014. "Estimating multivariate GARCH and stochastic correlation models equation by equation," MPRA Paper 54250, University Library of Munich, Germany.
- Massimiliano Caporin & Michael McAleer, 2011.
"Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation,"
Documentos de Trabajo del ICAE
2011-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers EI 2011-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Massimiliano Caporin, 2011. "Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation," KIER Working Papers 778, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Working Papers in Economics 11/23, University of Canterbury, Department of Economics and Finance.
- Riccardo LUCCHETTI & Giulio PALOMBA, 2006. "Forecasting US bond yields at weekly frequency," Working Papers 261, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Tule, Moses K. & Ndako, Umar B. & Onipede, Samuel F., 2017. "Oil price shocks and volatility spillovers in the Nigerian sovereign bond market," Review of Financial Economics, Elsevier, vol. 35(C), pages 57-65.
- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
- Martin Vojtek, 2004.
"Calibration of Interest Rate Models - Transition Market Case,"
Finance
0410015, University Library of Munich, Germany.
- Martin Vojtek, 2004. "Calibration of Interest Rate Models - Transition Market Case," CERGE-EI Working Papers wp237, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018.
"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fengler, Matthias R. & Herwartz, Helmut, 2015.
"Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models,"
Economics Working Paper Series
1517, University of St. Gallen, School of Economics and Political Science.
- Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper 72197, University Library of Munich, Germany, revised 10 Jun 2016.
- Irene Henriques & Perry Sadorsky, 2018. "Can Bitcoin Replace Gold in an Investment Portfolio?," JRFM, MDPI, vol. 11(3), pages 1-19, August.
- Yu‐Sheng Lai, 2022. "Use of high‐frequency data to evaluate the performance of dynamic hedging strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 104-124, January.
- Basher, Syed Abul & Sadorsky, Perry, 2016.
"Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH,"
Energy Economics, Elsevier, vol. 54(C), pages 235-247.
- Syed Abul, Basher & Perry, Sadorsky, 2015. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," MPRA Paper 68231, University Library of Munich, Germany.
- Umar, Zaghum & Hussain Shahzad, Syed Jawad & Kenourgios, Dimitris, 2019. "Hedging U.S. metals & mining Industry's credit risk with industrial and precious metals," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
- Zexuan Yin & Paolo Barucca, 2022. "Variational Heteroscedastic Volatility Model," Papers 2204.05806, arXiv.org.
- Rayadurgam, Vikram Chandramouli & Mangalagiri, Jayasree, 2023. "Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?," Finance Research Letters, Elsevier, vol. 54(C).
- Hafner, Christian M. & Preminger, Arie, 2009.
"Asymptotic Theory For A Factor Garch Model,"
Econometric Theory, Cambridge University Press, vol. 25(2), pages 336-363, April.
- HAFNER, Christian & PREMINGER, Arie, 2006. "Asymptotic theory for a factor GARCH model," LIDAM Discussion Papers CORE 2006071, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Oscar De la Torre Torres., 2013. "Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 39(2), pages 119-144, Julio-Dic.
- Xiaoshi Guo & Sarah M. Ryan, 2021. "Reliability assessment of scenarios generated for stock index returns incorporating momentum," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4013-4031, July.
- Chakraborty, Sandip & Kakani, Ram Kumar & Sampath, Aravind, 2022. "Portfolio risk and stress across the business cycle," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
- Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany.
- Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".
- Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020. "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Abdul Aziz, Nor Syahilla & Vrontos, Spyridon & M. Hasim, Haslifah, 2019. "Evaluation of multivariate GARCH models in an optimal asset allocation framework," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 568-596.
- Fengler, Matthias & Polivka, Jeannine, 2021.
"Proxy-identification of a structural MGARCH model for asset returns,"
Economics Working Paper Series
2103, University of St. Gallen, School of Economics and Political Science, revised Oct 2024.
- Matthias R. Fengler & Jeannine Polivka, 2024. "Proxy-identification of a structural MGARCH model for asset returns," Swiss Finance Institute Research Paper Series 24-55, Swiss Finance Institute.
- Pal, Debdatta & Mitra, Subrata K., 2019. "Hedging bitcoin with other financial assets," Finance Research Letters, Elsevier, vol. 30(C), pages 30-36.
- Sergio Alvares Maffra & John Armstrong & Teemu Pennanen, 2020. "Stochastic modeling of assets and liabilities with mortality risk," Papers 2005.09974, arXiv.org.
- Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2015. "Theoretical Aspects of Modeling of the SVAR [Теоретические Аспекты Моделирования Svar]," Published Papers mak8, Russian Presidential Academy of National Economy and Public Administration.
- Morelli, Giacomo, 2023. "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, vol. 117(C).
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015.
"Independent Factor Autoregressive Conditional Density Model,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
- Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
- Pal, Debdatta & Mitra, Subrata K., 2019. "Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops," Economic Modelling, Elsevier, vol. 82(C), pages 453-466.
- repec:hum:wpaper:sfb649dp2014-009 is not listed on IDEAS
- Ma, Rufei & Deng, Chengtao & Cai, Huan & Zhai, Pengxiang, 2019. "Does Shanghai-Hong Kong Stock Connect drive market comovement between Shanghai and Hong Kong: A new evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Fernandes, Marcelo & de Sa Mota, Bernardo & Rocha, Guilherme, 2005. "A multivariate conditional autoregressive range model," Economics Letters, Elsevier, vol. 86(3), pages 435-440, March.
- Sıtkı Gülten & Andrzej Ruszczyński, 2015. "Two-stage portfolio optimization with higher-order conditional measures of risk," Annals of Operations Research, Springer, vol. 229(1), pages 409-427, June.
- Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
- Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effectiveness of global sectors in emerging and developed stock markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 92-117.
- repec:hum:wpaper:sfb649dp2015-015 is not listed on IDEAS
- Mthuli Ncube & Daniel Zerfu Gurara & Dawit B. Tessema, 2014. "Working Paper 205 - Volatility and Co-movement in Commodity Prices- New Evidence," Working Paper Series 2135, African Development Bank.
- St'ephane Chr'etien & Juan-Pablo Ortega, 2011. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Papers 1101.5475, arXiv.org.
- Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
- Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe, 2022. "Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators," Economic Modelling, Elsevier, vol. 107(C).
- Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
- Jules Sadefo-Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
- Santos, André A.P. & Moura, Guilherme V., 2014. "Dynamic factor multivariate GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 606-617.
- García-Ferrer, Antonio & González-Prieto, Ester & Peña, Daniel, 2012. "A conditionally heteroskedastic independent factor model with an application to financial stock returns," International Journal of Forecasting, Elsevier, vol. 28(1), pages 70-93.
- Mollick, André Varella & Sakaki, Hamid, 2019. "Exchange rates, oil prices and world stock returns," Resources Policy, Elsevier, vol. 61(C), pages 585-602.
- Pham, Linh, 2019. "Do all clean energy stocks respond homogeneously to oil price?," Energy Economics, Elsevier, vol. 81(C), pages 355-379.
- Henriques, Irene & Sadorsky, Perry, 2018. "Investor implications of divesting from fossil fuels," Global Finance Journal, Elsevier, vol. 38(C), pages 30-44.
- Lee, Hsiang-Tai, 2009. "Optimal futures hedging under jump switching dynamics," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 446-456, June.
- Lakshina, Valeriya, 2020. "Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Hafner, Christian M. & Preminger, Arie, 2009. "On asymptotic theory for multivariate GARCH models," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2044-2054, October.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Karim M Abadir, 2023. "Explicit minimal representation of variance matrices, and its implication for dynamic volatility models," The Econometrics Journal, Royal Economic Society, vol. 26(1), pages 88-104.
- Ahmad, Wasim & Sadorsky, Perry & Sharma, Amit, 2018. "Optimal hedge ratios for clean energy equities," Economic Modelling, Elsevier, vol. 72(C), pages 278-295.
- Bodnar, Olha & Bodnar, Taras & Gupta, Arjun K., 2010. "Estimation and inference for dependence in multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 869-881, April.
- Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Salman, Aneel, 2019. "Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models," Resources Policy, Elsevier, vol. 61(C), pages 210-230.