Block Structure Multivariate Stochastic Volatility Models-Reference-Cited by-同舟云学术

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Block Structure Multivariate Stochastic Volatility Models

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Asai Manabu,Caporin Massimiliano,McAleer Michael

Publisher

Elsevier BV

Reference23 articles.

1. Variable selection for portfolio choice;Y Ait-Sahalia;Journal of Finance,2001

2. Asymmetric multivariate stochastic volatility;M Asai;Econometric Reviews,2006

3. The structure of dynamic correlations in multivariate stochastic volatility models;M Asai;Journal of Econometrics,2009

4. Multivariate stochastic volatility: A review;M Asai;Econometric Reviews,2006

5. Stochastic autoregressive volatility: A framework for volatility modeling;T G Andersen;Mathematical Finance,1994

Cited by 5 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;SSRN Electronic Journal;2012

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

3. Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models;SSRN Electronic Journal;2009

4. Structured Multivariate Volatility Models;SSRN Electronic Journal;2008

5. Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model;SSRN Electronic Journal;2008

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