Author:
Aielli Gian Piero,Caporin Massimiliano
Subject
Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science
Reference24 articles.
1. G.P. Aielli, Dynamic conditional correlation MGARCH models: on properties and estimation, 2011. Available at SSRN: http://ssrn.com/abstract=1507743.
2. G.P. Aielli, M. Caporin, Variance clustering improved dynamic conditional correlation estimators, 2011. Available at SSRN: http://ssrn.com/abstract=1838182.
3. M. Asai, M. Caporin, M. McAleer, Block structure multivariate stochastic volatility. Available at SSRN: http://ssrn.com/abstract=1524667.
4. Multivariate GARCH models: a survey;Bauwens;Journal of Applied Econometrics,2006
5. Bayesian clustering of many Garch models;Bauwens;Econometric Reviews,2006
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