Multivariate GARCH models: a survey
Multivariate GARCH models: a survey - Bauwens - 2006 - Journal of Applied Econometrics -
Wiley Online Library Skip to Article Content Skip to Article Information Wiley Online Library …
Wiley Online Library Skip to Article Content Skip to Article Information Wiley Online Library …
Financialization in commodity markets: A passing trend or the new normal?
In this paper, we show that large inflows into commodity investments, a recent phenomenon
known as financialization, has changed the behavior and dependence structure between …
known as financialization, has changed the behavior and dependence structure between …
[引用][C] New introduction to multiple time series analysis
H Lütkepohl - Springers Science & Business Media, 2005 - books.google.com
When I worked on my Introduction to Multiple Time Series Analysis (Lutk ̈ ̈-pohl (1991)), a
suitable textbook for this? eld was not available. Given the great importance these methods …
suitable textbook for this? eld was not available. Given the great importance these methods …
Multivariate GARCH models
A Silvennoinen, T Teräsvirta - Handbook of financial time series, 2009 - Springer
This article contains a review of multivariate GARCH models. Most common GARCH models
are presented and their properties considered. This also includes nonparametric and …
are presented and their properties considered. This also includes nonparametric and …
[图书][B] Diagnostic checks in time series
WK Li - 2003 - taylorfrancis.com
Diagnostic checking is an important step in the modeling process. But while the literature on
diagnostic checks is quite extensive and many texts on time series modeling are available, it …
diagnostic checks is quite extensive and many texts on time series modeling are available, it …
[图书][B] ARCH models for financial applications
E Xekalaki, S Degiannakis - 2010 - books.google.com
Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to
model asset price volatility over time. This book introduces both the theory and applications …
model asset price volatility over time. This book introduces both the theory and applications …
An analysis of stock markets integration and dynamics of volatility spillover in emerging nations
I Khan - Journal of Economic and Administrative Sciences, 2023 - emerald.com
Purpose BRICS (Brazil, Russia, India, China, and South Africa) a group of five emerging
nations that are expected to lead the global economy by the year 2050. The growth potential …
nations that are expected to lead the global economy by the year 2050. The growth potential …
Residual‐based diagnostics for conditional heteroscedasticity models
YK Tse - The Econometrics Journal, 2002 - academic.oup.com
We examine the residual‐based diagnostics for univariate and multivariate conditional
heteroscedasticity models. The tests are based on the parameter estimates of an …
heteroscedasticity models. The tests are based on the parameter estimates of an …
Modelling multivariate volatilities via conditionally uncorrelated components
We propose to model multivariate volatility processes on the basis of the newly defined
conditionally uncorrelated components (CUCs). This model represents a parsimonious …
conditionally uncorrelated components (CUCs). This model represents a parsimonious …
[图书][B] Volatility and time series econometrics: essays in honor of Robert Engle
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series
econometrics. This book contains 16 original research contributions by some the leading …
econometrics. This book contains 16 original research contributions by some the leading …