DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations

Published:2023-04 Issue:2 Volume:39 Page:938-955
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Bauwens Luc,Xu Yongdeng^ORCID

Funder

Universität Konstanz

Publisher

Elsevier BV

Subject

Business and International Management

Reference31 articles.

1. Dynamic conditional correlation: On properties and estimation;Aielli;Journal of Business & Economic Statistics,2013

2. Forecasting comparison of long term component dynamic models for realized covariance matrices;Bauwens;Annals of Economics and Statistics,2016

3. Multivariate GARCH models: A survey;Bauwens;Journal of Applied Econometrics,2006

4. Modeling the dependence of conditional correlations on market volatility;Bauwens;Journal of Business & Economic Statistics,2016

5. Dynamic conditional correlation models for realized covariance matrices;Bauwens,2012

Cited by 3 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. Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets;Energy Economics;2024-08

2. Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset?;PLOS ONE;2023-10-05

3. Macroeconomic Shocks and Volatility Spillovers between Crude Oil and Other Financial Markets;2023

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP