Multivariate rotated ARCH models-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Multivariate rotated ARCH models

Published:2014-03 Issue:1 Volume:179 Page:16-30
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Noureldin Diaa,Shephard Neil,Sheppard Kevin

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference48 articles.

1. Orthogonal GARCH;Alexander,2001

2. Alexander, C.O., Chibumba, A.M., 1997. Multivariate orthogonal factor GARCH. Mimeo, University of Sussex, UK.

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

4. Multivariate volatility modelling of electricity futures;Bauwens;Journal of Applied Econometrics,2013

5. Multivariate GARCH models: a survey;Bauwens;Journal of Applied Econometrics,2006

Cited by 45 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. Explicit minimal representation of variance matrices, and its implication for dynamic volatility models;The Econometrics Journal;2022-08-25

2. Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices;Journal of Business & Economic Statistics;2022-06-24

3. Multivariate Hyper-Rotated GARCH-BEKK;Journal of Time Series Econometrics;2022-01-10

4. A geometric framework for covariance dynamics;Journal of Banking & Finance;2022-01

5. A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio;Journal of Futures Markets;2021-11-18

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