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Ranking Multivariate GARCH Models by Problem Dimension. (2010). McAleer, Michael ; Caporin, Massimiliano.
In: Marco Fanno Working Papers.
RePEc:pad:wpaper:0124.

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  1. How does US tariff policy affect the relationship among crude oil, the US dollar and metal markets?. (2023). Zolfaghari, Mehdi.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005871.

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  2. Modelling crude oil-petroleum products’ price nexus using dynamic conditional correlation GARCH models. (2018). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula.
    In: MPRA Paper.
    RePEc:pra:mprapa:91227.

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  3. VOLATILITY SPILLOVERS WITH SPATIAL EFFECTS ON THE OIL AND GAS MARKET. (2018). Valeriya, Lakshina ; Efrosiniya, Karatetskaya.
    In: HSE Working papers.
    RePEc:hig:wpaper:72/fe/2018.

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  4. A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns. (2018). Clements, Adam ; Becker, Ralf ; O'Neill, Robert.
    In: Econometrics.
    RePEc:gam:jecnmx:v:6:y:2018:i:1:p:7-:d:132320.

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  5. Proximity-Structured Multivariate Volatility Models. (2015). Paruolo, Paolo ; Caporin, Massimiliano.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:34:y:2015:i:5:p:559-593.

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  6. Selecting volatility forecasting models for portfolio allocation purposes. (2015). Hurn, Stan ; Clements, Adam ; Doolan, M B ; Becker, R.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:849-861.

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  7. Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach. (2015). Salisu, Afees ; Oloko, Tirimisiyu.
    In: Energy Economics.
    RePEc:eee:eneeco:v:50:y:2015:i:c:p:1-12.

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  8. Dynamic Asset Correlations Based on Vines. (2015). Fermanian, Jean-David ; Poignard, Benjamin.
    In: Working Papers.
    RePEc:crs:wpaper:2014-46.

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  9. The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options. (2014). Violante, Francesco ; Stentoft, Lars ; Rombouts, Jeroen.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:1:p:78-98.

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  10. The uncertainty of conditional returns, volatilities and correlations in DCC models. (2014). Ruiz, Esther ; Fresoli, Diego .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws140202.

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  11. 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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  12. 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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  13. Selecting forecasting models for portfolio allocation. (2012). Hurn, Stan ; Clements, Adam ; Becker, Ralf ; Doolan, Mark .
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2012_8.

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  14. 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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  15. The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options. (2012). Violante, Francesco ; Stentoft, Lars ; Rombouts, Jeroen V. K., .
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2012003.

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  16. The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options. (2012). Stentoft, Lars ; Rombouts, Jeroen ; Violente, Francesco .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2012s-05.

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  17. The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options. (2012). Violante, Francesco ; Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
    In: CREATES Research Papers.
    RePEc:aah:create:2012-04.

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  18. Forecasting international stock market correlations: does anything beat a CCC?. (2010). Manner, Hans ; Reznikova, Olga .
    In: Discussion Papers in Econometrics and Statistics.
    RePEc:zbw:ucdpse:710.

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  19. Model Selection and Testing of Conditional and Stochastic Volatility Models. (2010). McAleer, Michael ; Caporin, Massimiliano.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20940.

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References

References cited by this document

  1. Aielli, 2008, Consistent estimation of large scale dynamic conditional correlations, Working paper n. 47, Department of Economics, Statistics, Mathematics and Sociology, University of Messina.
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  2. De Miguel, V., Garlappi, L., and Uppal, R., 2009, Optimal versus naïve diversification: how inefficient is the 1/N portfolio strategy?, Review of Financial Studies, 22, 19151953.
    Paper not yet in RePEc: Add citation now

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