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GO-GARCH: a multivariate generalized orthogonal GARCH model. (2002). van der Weide, Roy ; Roy van der Weide, .
In: Journal of Applied Econometrics.
RePEc:jae:japmet:v:17:y:2002:i:5:p:549-564.

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  44. The Jacobian of the exponential function. (2020). Sentana, Enrique ; Magnus, Jan.
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  78. Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik.
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  79. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge.
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  80. Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge.
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  81. Can Bitcoin Replace Gold in an Investment Portfolio?. (2018). Sadorsky, Perry ; Henriques, Irene.
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  82. Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach. (2018). Shahzad, Syed Jawad Hussain ; Raza, Syed ; Hussain, Syed Jawad ; Ali, Sajid.
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  85. Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien.
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  86. Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry.
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  87. Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH. (2018). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut.
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  89. Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F.
    In: Journal of Financial Econometrics.
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  90. Identification of Structural Vector Autoregressions by Stochastic Volatility. (2017). Braun, Robin ; Bertsche, Dominik.
    In: Working Paper Series of the Department of Economics, University of Konstanz.
    RePEc:knz:dpteco:1711.

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  91. Generalized dynamic factor models and volatilities estimation and forecasting. (2017). Barigozzi, Matteo ; Hallin, Marc.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:67455.

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  92. Oil price shocks and volatility spillovers in the Nigerian sovereign bond market. (2017). tule, moses ; Ndako, Umar ; Onipede, Samuel F.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:35:y:2017:i:c:p:57-65.

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  93. Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut.
    In: Econometrics and Statistics.
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  94. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo.
    In: Working Papers ECARES.
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  95. 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.
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  96. Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). Nguyen, Hoang ; Ausin, Maria Concepcion ; san Miguel, Pedro Galeano .
    In: DES - Working Papers. Statistics and Econometrics. WS.
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  97. Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity. (2016). Lütkepohl, Helmut ; Velinov, Anton ; Lutkepohl, Helmut.
    In: EconStor Open Access Articles.
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  98. Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. (2016). Fengler, Matthias ; Herwartz, Helmut.
    In: MPRA Paper.
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  99. Institutional investment, equity volume and volatility spillover: Causalities and asymmetries. (2016). Chakraborty, Sandip ; Kakani, Ram Kumar .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:44:y:2016:i:c:p:1-20.

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  100. Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. (2016). Basher, Syed ; Sadorsky, Perry.
    In: Energy Economics.
    RePEc:eee:eneeco:v:54:y:2016:i:c:p:235-247.

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  101. Estimating multivariate volatility models equation by equation. (2016). Zakoian, Jean-Michel ; Francq, Christian.
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:78:y:2016:i:3:p:613-635.

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  102. Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models. (2015). Fengler, Matthias ; Herwartz, Helmut.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2015:17.

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  103. Independent Factor Autoregressive Conditional Density Model. (2015). Urga, Giovanni ; Rossi, Eduardo ; Ghalanos, Alexios .
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:34:y:2015:i:5:p:594-616.

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  104. Two-stage portfolio optimization with higher-order conditional measures of risk. (2015). Ruszczynski, Andrzej ; Gulten, Sitki ; Ruszczyski, Andrzej.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:229:y:2015:i:1:p:409-427:10.1007/s10479-014-1768-2.

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  105. Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. (2015). Basher, Syed ; Abul, Basher Syed ; Perry, Sadorsky .
    In: MPRA Paper.
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  106. Dynamic Principal Components: a New Class of Multivariate GARCH Models. (2015). Caporin, Massimiliano ; Aielli, Gian Piero .
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0194.

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  107. Semiparametric Estimation of Multivariate GARCH Models. (2015). MORANA, CLAUDIO ; Claudio, Morana.
    In: Working Papers.
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  108. Structural Vector Autoregressions with Heteroskedasticy. (2015). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2015-015.

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  109. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance. (2015). McAleer, Michael ; Asai, Manabu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:189:y:2015:i:2:p:251-262.

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  110. Copula-MGARCH with continuous covariance decomposition. (2015). Herwartz, Helmut ; Fabian, .
    In: Economics Letters.
    RePEc:eee:ecolet:v:133:y:2015:i:c:p:73-76.

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  111. Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting. (2015). Hallin, Marc ; Barigozzi, Matteo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/200436.

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  112. Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models. (2015). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Lutkepohl, Helmut.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1464.

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  113. Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models. (2015). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Luetkepohl, Helmut .
    In: CESifo Working Paper Series.
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  114. An Empirical Study of the Dynamic Correlation of Japanese Stock Returns.. (2015). Isogai, Takashi.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:wp15e07.

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  115. BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY. (2015). Galeano, Pedro ; Ausin, Concepcion M ; Virbickaite, Audrone.
    In: Journal of Economic Surveys.
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  116. Modeling Conditional Covariances With Economic Information Instruments. (2014). Turtle, H. J. ; Wang, Kainan.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:32:y:2014:i:2:p:217-236.

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  117. Business Cycle Synchronisation in EU: A time-varying approach. (2014). Filis, George ; Duffy, David ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80437.

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  118. Estimating multivariate GARCH and stochastic correlation models equation by equation. (2014). Zakoian, Jean-Michel ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:54250.

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  119. Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity. (2014). Lütkepohl, Helmut ; Velinov, Anton ; Lutkepohl, Helmut.
    In: SFB 649 Discussion Papers.
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  120. Multivariate rotated ARCH models. (2014). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
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    RePEc:hrv:faseco:34650305.

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  121. Modelling the general dependence between commodity forward curves. (2014). Zolotko, Mikhail ; Okhrin, Ostap.
    In: Energy Economics.
    RePEc:eee:eneeco:v:43:y:2014:i:c:p:284-296.

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  122. Multivariate rotated ARCH models. (2014). Shephard, Neil ; Noureldin, Diaa ; Sheppard, Kevin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:179:y:2014:i:1:p:16-30.

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  123. Dynamic factor multivariate GARCH model. (2014). Santos, Andre ; Moura, Guilherme ; Santos, Andre A. P., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:606-617.

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  124. Multivariate GARCH estimation via a Bregman-proximal trust-region method. (2014). Ortega, Juan-Pablo ; Chretien, Stephane .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:210-236.

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  125. Robust ranking of multivariate GARCH models by problem dimension. (2014). McAleer, Michael ; Caporin, Massimiliano.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:172-185.

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  126. Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity. (2014). Lütkepohl, Helmut ; Velinov, Anton ; Lutkepohl, Helmut.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1356.

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  127. Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations. (2014). Galeano, Pedro ; de la Fuente, Cristina Garcia ; Wiper, Michael P..
    In: DES - Working Papers. Statistics and Econometrics. WS.
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  128. Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity. (2014). Lütkepohl, Helmut ; Velinov, Anton ; Luetkepohl, Helmut .
    In: CESifo Working Paper Series.
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  129. Working Paper 205 - Volatility and Co-movement in Commodity Prices- New Evidence. (2014). Ncube, Mthuli ; Tessema, Dawit B. ; Gurara, Daniel Zerfu .
    In: Working Paper Series.
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  131. A COMPARISON OF THE FORECASTING PERFORMANCES OF MULTIVARIATE VOLATILITY MODELS. (2013). Candila, Vincenzo.
    In: Working Papers.
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  132. Time-varying Business Cycles Synchronisation in Europe. (2013). Filis, George ; Duffy, David ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:52925.

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  133. Central bank communication and correlation between financial markets: Canada and the United States. (2013). Neuenkirch, Matthias ; Hayo, Bernd ; Beck, Melanie-Kristin .
    In: International Economics and Economic Policy.
    RePEc:kap:iecepo:v:10:y:2013:i:2:p:277-296.

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  134. Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán.. (2013). Oscar De la Torre Torres., .
    In: Economía: teoría y práctica.
    RePEc:ety:journl:v:39:y:2013:i:2:p:119-144.

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  135. The impact of distressed economies on the EU sovereign market. (2013). Lafuente, Juan Angel ; Groba, Jonatan ; Serrano, Pedro.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:7:p:2520-2532.

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  136. On loss functions and ranking forecasting performances of multivariate volatility models. (2013). Violante, Francesco ; Rombouts, Jeroen ; Laurent, Sébastien ; Rombouts, Jeroen V. K., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:1-10.

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  137. On the forecasting accuracy of multivariate GARCH models. (2012). Violante, Francesco ; Laurent, Sébastien ; Jeroen V. K. Rombouts, .
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:27:y:2012:i:6:p:934-955.

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  138. Influence of the American Financial Market on Other Markets During the Subprime Crisis. (2012). Piotr, Puciennik .
    In: Folia Oeconomica Stetinensia.
    RePEc:vrs:foeste:v:12:y:2012:i:2:p:19-30:n:7.

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  139. Robust Ranking of Multivariate GARCH Models by Problem Dimension. (2012). McAleer, Michael ; Caporin, Massimiliano.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1206.

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  140. Independent Factor Autoregressive Conditional Density Model. (2012). Urga, Giovanni ; Rossi, Eduardo ; Ghalanos, Alexios .
    In: DEM Working Papers Series.
    RePEc:pav:demwpp:021.

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  141. Multivariate Rotated ARCH models. (2012). Shephard, Neil ; Noureldin, Diaa ; Sheppard, Kevin.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:594.

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  142. Multivariate Rotated ARCH Models. (2012). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
    In: Economics Papers.
    RePEc:nuf:econwp:1201.

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  143. Central Bank Communication and Correlation between Financial Markets: Canada and the United States. (2012). Neuenkirch, Matthias ; Hayo, Bernd ; Beck, Melanie-Kristin .
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:201201.

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  144. Robust Ranking of Multivariate GARCH Models by Problem Dimension. (2012). McAleer, Michael ; Caporin, Massimiliano.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:815.

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  145. Robust Ranking of Multivariate GARCH Models by Problem Dimension. (2012). McAleer, Michael ; Caporin, Massimiliano.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:32526.

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  146. A conditionally heteroskedastic independent factor model with an application to financial stock returns. (2012). Garcia-Ferrer, Antonio ; Gonzalez-Prieto, Ester ; Pea, Daniel.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:1:p:70-93.

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  147. Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market. (2012). Santos, Andre ; Moura, Guilherme ; André A. P. Santos, ; Caldeira, Joo .
    In: Economics Bulletin.
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  148. Identifying Structural Vector Autoregressions via Changes in Volatility. (2012). Lütkepohl, Helmut.
    In: Discussion Papers of DIW Berlin.
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  149. How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets. (2012). Trupkin, Danilo ; Ibarra, Raul ; Hernandez, Manuel.
    In: 123rd Seminar, February 23-24, 2012, Dublin, Ireland.
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  150. Dynamic Conditional Correlations for Asymmetric Processes. (2011). McAleer, Michael ; Asai, Manabu.
    In: Documentos de Trabajo del ICAE.
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  151. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1120.

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  152. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails. (2011). Zhang, Xin ; Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew.
    In: Tinbergen Institute Discussion Papers.
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  153. Lao People’s Democratic Republic: responding to rice price inflation. (2011). Loening, Josef.
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  154. DOWNSIDE RISK AND KAPPA INDEX OF NON-GAUSSIAN PORTFOLIO WITH LPM. (2011). SADEFO, Jules ; Kamdem, Jules Sadefo .
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  155. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano.
    In: Econometric Institute Research Papers.
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  156. Independent component analysis for realized volatility: Analysis of the stock market crash of 2008. (2011). Kumiega, Andrew ; Neururer, Thaddeus ; van Vliet, Ben.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:51:y:2011:i:3:p:292-302.

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  157. Method of moments estimation of GO-GARCH models. (2011). van der Weide, Roy ; Boswijk, Peter H. ; Roy van der Weide, .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:1:p:118-126.

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  158. Volatility models. (2011). Laurent, Sébastien ; Hafner, Christian ; Bauwens, Luc.
    In: CORE Discussion Papers.
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  159. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:11/23.

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  160. How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets. (2011). Trupkin, Danilo ; Ibarra, Raul ; Hernandez, Manuel ; Ibarra-Ramirez, Raul .
    In: Working Papers.
    RePEc:bdm:wpaper:2011-15.

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  161. Multivariate GARCH estimation via a Bregman-proximal trust-region method. (2011). Ortega, Juan-Pablo ; St'ephane Chr'etien, .
    In: Papers.
    RePEc:arx:papers:1101.5475.

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  162. Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional. (2010). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe.
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    RePEc:lrk:eeaart:28_3_2.

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  163. Efficient estimation of a multivariate multiplicative volatility model. (2010). Hafner, Christian M. ; Linton, Oliver.
    In: Post-Print.
    RePEc:hal:journl:peer-00732539.

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  164. Dynamic Conditional Correlations for Asymmetric Processes. (2010). McAleer, Michael ; Asai, Manabu.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:21949.

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  165. Estimation and inference for dependence in multivariate data. (2010). Gupta, Arjun K. ; Bodnar, Taras.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:101:y:2010:i:4:p:869-881.

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  166. Efficient estimation of a multivariate multiplicative volatility model. (2010). LINTON, OLIVER ; Hafner, Christian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:55-73.

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  167. Testing for co-integration in vector autoregressions with non-stationary volatility. (2010). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; Taylor, A. M. Robert, .
    In: Journal of Econometrics.
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  168. Joint forecasts of Dow Jones stocks under general multivariate loss function. (2010). Demetrescu, Matei ; Alp, Tansel .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:11:p:2360-2371.

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  169. On the forecasting accuracy of multivariate GARCH models. (2010). Violante, Francesco ; Rombouts, Jeroen ; Laurent, Sébastien ; Rombouts, Jeroen V. K., .
    In: CORE Discussion Papers.
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  170. Dynamic Conditional Correlations for Asymmetric Processes. (2010). McAleer, Michael ; Asai, Manabu.
    In: Working Papers in Economics.
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  171. Dynamic Conditional Correlations for Asymmetric Processes. (2009). McAleer, Michael ; Asai, Manabu.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf657.

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  172. Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model. (2009). So, Mike K. P., ; Yip, Iris W. H., .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:80:y:2009:i:2:p:327-340.

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  173. On asymptotic theory for multivariate GARCH models. (2009). Hafner, Christian ; Preminger, Arie.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:100:y:2009:i:9:p:2044-2054.

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  174. Optimal futures hedging under jump switching dynamics. (2009). Lee, Hsiang-Tai .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:446-456.

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  175. Nonlinear adjustment in US bond yields: An empirical model with conditional heteroskedasticity. (2009). Palomba, Giulio ; Lucchetti, Riccardo (Jack).
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:3:p:659-667.

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  176. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models. (2009). Rombouts, Jeroen ; Laurent, Sébastien ; Violente, Francesco .
    In: CIRANO Working Papers.
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  177. Dynamic Conditional Correlations for Asymmetric Processes. (2009). McAleer, Michael ; Asai, Manabu.
    In: CARF F-Series.
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  178. Co-integration Rank Testing under Conditional Heteroskedasticity. (2009). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; A. M. Robert Taylor, .
    In: CREATES Research Papers.
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  179. Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity. (2008). Palomba, Giulio ; Lucchetti, Riccardo (Jack).
    In: MPRA Paper.
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  180. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility. (2008). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; A. M. Robert Taylor, .
    In: Discussion Papers.
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  181. Modelling multivariate volatilities via conditionally uncorrelated components. (2008). Fan, Jianqing ; Yao, Qiwei ; Wang, Mingjin .
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