Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators-Reference-Cited by-同舟云学术

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Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Published:2011 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Aielli Gian Piero,Caporin Massimiliano

Publisher

Elsevier BV

Reference34 articles.

1. Dynamic Conditional Correlation: On Properties and Estimation

2. Comparing density forecasts via weighted likelihood ratio tests;G Amisano;Journal of Business and Economic Statistics,2007

3. Bayesian Clustering of Many Garch Models;L Bauwens;Econometric Reviews,2007

4. Flexible Dynamic Conditional Correlation Multivariate GARCH for Asset Allocation;M Billio;Applied Financial Economics Letters,2006

Cited by 4 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. Fast clustering of GARCH processes via Gaussian mixture models;Mathematics and Computers in Simulation;2013-08

2. Equity and CDS sector indices: Dynamic models and risk hedging;The North American Journal of Economics and Finance;2013-08

3. Fast Clustering of GARCH Processes Via Gaussian Mixture Models;SSRN Electronic Journal;2012

4. Risk Spillovers in International Equity Portfolios;SSRN Electronic Journal;2011

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