Average Conditional Correlation and Tree Structures for Multivariate GARCH Models-Reference-Cited by-同舟云学术

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Average Conditional Correlation and Tree Structures for Multivariate GARCH Models

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Audrino Francesco,Barone-Adesi Giovanni

Publisher

Elsevier BV

Reference43 articles.

1. The distribution of realized exchange rate volatility;T G Andersen;Journal of the American Statistical Association,2001

2. Forecasting financial market volatility: sample frequency vis-a-vis forecast horizon;T G Andersen;Journal of Empirical Finance,1999

3. Tree-Structured GARCH Models;F Audrino;Journal of the Royal Statistical Society, Series B,2001

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The impact of general non-parametric volatility functions in multivariate GARCH models;Computational Statistics & Data Analysis;2006-07

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