Multivariate GARCH models: a survey - Bauwens - 2006 - Journal of Applied Econometrics -
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This study examines how financial contagion occurs through financial and nonfinancial firms
between China and G7 countries during the COVID–19 period. The empirical results show …

This study examines the role of gold as a hedge or safe-haven asset in different phases of
the COVID-19 pandemic crisis, corresponding to the timing of fiscal and monetary stimuli to …

Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution
has had a substantial impact on applied analysis. Hence, no textbook has managed to cover …

In this article we propose a new multivariate generalized autoregressive conditional
heteroscedasticity (MGARCH) model with time-varying correlations. We adopt the vech …

We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin
in global industry portfolios and bond index. We find lower dynamic conditional correlations …

This paper investigates the asymptotic theory for a vector autoregressive moving average–
generalized autoregressive conditional heteroskedasticity (ARMA-GARCH) model. The …

Modeling the dependency between stock market returns is a difficult task when returns
follow a complicated dynamics. When returns are non-normal, it is often simply impossible to …

In this paper we examine the correlation structure of the major world equity markets over 150
years. We find that correlations vary considerably through time and are highest during …

This book contains a up-to-date overview of nonlinear time series models and their
application to modelling economic relationships. It considers nonlinear models in stationary …