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Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano.
In: Econometric Institute Research Papers.
RePEc:ems:eureir:23582.

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  1. Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism. (2017). Lv, Xin ; Bouri, Elie ; Xin Lv, ; Lien, Donald ; Chen, Qian.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:48:y:2017:i:c:p:34-48.

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  2. Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1672.

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  3. Modeling conditional covariance for mixed-asset portfolios. (2014). Zhou, Jian.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:242-249.

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  4. On the Benefits of Equicorrelation for Portfolio Allocation. (2013). Silvennoinen, Annastiina ; Clements, Adam ; Scott, Ayesha .
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2013_92.

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  5. Forecasting multivariate volatility in larger dimensions: some practical issues. (2012). Silvennoinen, Annastiina ; Clements, Adam ; Scott, Ayesha .
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2012_3.

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    RePEc:pen:papers:09-035.

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  52. Shape invariant modelling pricing kernels and risk aversion. (2009). Härdle, Wolfgang ; Park, Juhyun ; Hardle, Wolfgang ; Grith, Maria .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-041.

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  53. The Political Economy of Regulatory Risk. (2009). Strausz, Roland.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-040.

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  54. Regulation and Investment in Network Industries: Evidence from European Telecoms. (2009). Grajek, Michal ; Roller, Lars-Hendrik .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-039.

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  55. CDO and HAC. (2009). Okhrin, Ostap ; Härdle, Wolfgang ; Choros-Tomczyk, Barbara ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-038.

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  56. Understanding forecast failure of ESTAR models of real exchange rates. (2009). Buncic, Daniel.
    In: EERI Research Paper Series.
    RePEc:eei:rpaper:eeri_rp_2009_18.

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  57. Inflation and Inflation Uncertainty in the Euro Area. (2009). Paesani, Paolo ; onorante, luca ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2720.

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  58. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-324.

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  59. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Discussion Papers.
    RePEc:swe:wpaper:2008-23.

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  60. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Discussion Papers.
    RePEc:swe:wpaper:2008-10.

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  61. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:08-10.

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  62. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:08-03.

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