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Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models

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Cited by:

  1. Roland Gillet & Ariane Szafarz, 2004. "Marchés financiers et anticipations rationnelles," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(2), pages 7-17.
  2. Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
  3. R. REYTIER & A. Blanes & Q. Gaucher & S. Thiam & P. Debled, 2015. "Behavior of Covariance Matrices with Equi-Correlation Approach," Proceedings of International Academic Conferences 2805027, International Institute of Social and Economic Sciences.
  4. Ferland, Rene & Lalancette, Simon, 2006. "Dynamics of realized volatilities and correlations: An empirical study," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2109-2130, July.
  5. Berg, Nathan & Gu, Anthony Y. & Lien, Donald, 2007. "Dynamic correlation: A tool hedging house-price risk?," MPRA Paper 26368, University Library of Munich, Germany.
  6. Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003. "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 735-747, August.
  7. Heathcote, Jonathan & Perri, Fabrizio, 2004. "Financial globalization and real regionalization," Journal of Economic Theory, Elsevier, vol. 119(1), pages 207-243, November.
  8. Beine, Michel, 2004. "Conditional covariances and direct central bank interventions in the foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1385-1411, June.
  9. Lee, Chien-Chiang & Wang, Yurong & Zhang, Xiaoming, 2023. "Corporate governance and systemic risk: Evidence from Chinese-listed banks," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 180-202.
  10. Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger, 2018. "Cross-commodity news transmission and volatility spillovers in the German energy markets," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 231-243.
  11. Ellul, Reuben, 2017. "Correlation between Maltese and euro area sovereign bond yields," MPRA Paper 80795, University Library of Munich, Germany.
  12. Benavides Guillermo, 2010. "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Working Papers 2010-12, Banco de México.
  13. Mr. Gianni De Nicolo & Mr. Myron L. Kwast, 2002. "Systemic Risk and Financial Consolidation: Are they Related?," IMF Working Papers 2002/055, International Monetary Fund.
  14. William Goetzmann & Lingfeng Li & K. Rouwenhorst, 2001. "Long-Term Global Market Correlations," Yale School of Management Working Papers ysm237, Yale School of Management, revised 01 Jan 2008.
  15. De Nicolo, Gianni & Kwast, Myron L., 2002. "Systemic risk and financial consolidation: Are they related?," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 861-880, May.
  16. Guidi, Francesco & Ugur, Mehmet, 2012. "Are South East Europe stock markets integrated with regional and global stock markets?," MPRA Paper 44133, University Library of Munich, Germany, revised Dec 2012.
  17. Don Bredin & Stuart Hyde, 2004. "FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(9‐10), pages 1389-1417, November.
  18. Francisco Blasques, 2013. "On the Phase Dependence in Time-Varying Correlations Between Time-Series," Tinbergen Institute Discussion Papers 13-054/III, Tinbergen Institute.
  19. Choi, Pilsun & Nam, Kiseok, 2008. "Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 41-63, January.
  20. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers 06-07.RS, ULB -- Universite Libre de Bruxelles.
  21. Guillermo Benavides, 2010. "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(2), pages 1-27.
  22. Feunou Bruno & Tafolong Ernest, 2015. "Fourier inversion formulas for multiple-asset option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 531-559, December.
  23. nnamdi, Kelechi & ifionu, Ebele, 2013. "Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012)," MPRA Paper 48316, University Library of Munich, Germany, revised 2013.
  24. Don Bredin & Stuart Hyde, 2004. "FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(9‐10), pages 1389-1417, November.
  25. Koenig, P., 2011. "Modelling Correlation in Carbon and Energy Markets," Cambridge Working Papers in Economics 1123, Faculty of Economics, University of Cambridge.
  26. Guillermo Benavides Perales, 2009. "Price volatility forecasts for agricultural commodities: an application of volatility models, option implieds and composite approaches forfutures prices of corn and wheat," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 3(2), pages 40-59.
  27. Carlos Bautista, 2003. "Interest rate-exchange rate dynamics in the Philippines: a DCC analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 10(2), pages 107-111.
  28. Coe, P.J. & Pesaran, M.H. & Vahey, S.P., 2003. "Scope for Cost Minimization in Public Debt Management: the Case of the UK," Cambridge Working Papers in Economics 0338, Faculty of Economics, University of Cambridge.
  29. Cifarelli, Giulio & Paladino, Giovanna, 2006. "Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?," Global Finance Journal, Elsevier, vol. 16(3), pages 245-263, March.
  30. Eduardo F. L. de Melo & Beatriz Vaz de Melo Mendes, 2009. "Local Estimation of Copula Based Value-at-Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 7(1), pages 29-50.
  31. Ceci, Vladimiro & Manganelli, Simone & Vecchiato, Walter, 2002. "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series 194, European Central Bank.
  32. Wang, Chaug-Jung & Lee, Chien-Hui & Huang, Bwo-Nung, 2003. "An analysis of industry and country effects in global stock returns: evidence from Asian countries and the U.S," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 560-577.
  33. Cifarelli, Giulio & Paladino, Giovanna, 2004. "The impact of the Argentine default on volatility co-movements in emerging bond markets," Emerging Markets Review, Elsevier, vol. 5(4), pages 427-446, December.
  34. Filip Iorgulescu, 2009. "Value at Risk: A Comparative Analysis," Advances in Economic and Financial Research - DOFIN Working Paper Series 25, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
  35. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  36. Tareq Saeed & Elie Bouri & Dang Khoa Tran, 2020. "Hedging Strategies of Green Assets against Dirty Energy Assets," Energies, MDPI, vol. 13(12), pages 1-17, June.
  37. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  38. Dennis, Wesselbaum, 2012. "Stochastic Volatility in the U.S. Labor Market," MPRA Paper 43054, University Library of Munich, Germany.
  39. Benavides, Guillermo, 2009. "Predictive Accuracy of Futures Options Implied Volatility: the Case of the Exchange Rate Futures Mexican Peso-Us Dollar," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(09), pages 55-95, segundo s.
  40. Samitas, Aristeidis & Tsakalos, Ioannis, 2013. "How can a small country affect the European economy? The Greek contagion phenomenon," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 18-32.
  41. Benavides Guillermo, 2006. "Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models," Working Papers 2006-04, Banco de México.
  42. Ellul, Reuben, 2015. "Analysing correlation between the MSE index and global stock markets," MPRA Paper 72464, University Library of Munich, Germany.
  43. Narayan, Seema & Doytch, Nadia & Nguyen, Tri Tung & Kluegel, Karl, 2016. "Trade of goods and services and risk sharing ability in international equity markets: Are these substitutes or complements?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 485-503.
  44. Manganelli, Simone & Ceci, Vladimiro & Vecchiato, Walter, 2002. "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series 0194, European Central Bank.
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