Author:
Blasques Francisco,Koopman Siem Jan,Łasak Katarzyna,Lucas André
Funder
Dutch National Science Foundation
Danish National Research Foundation
Subject
Business and International Management
Reference17 articles.
1. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991
2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
3. Statistical analysis of time series: some recent developments;Cox;Scandinavian Journal of Statistics,1981
4. A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations;Creal;Journal of Business and Economic Statistics,2011
5. Generalized autoregressive score models with applications;Creal;Journal of Applied Econometrics,2013
Cited by
33 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