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Principal Component Models for Generating Large GARCH Covariance Matrices. (2002). Alexander, Carol.
In: Economic Notes.
RePEc:bla:ecnote:v:31:y:2002:i:2:p:337-359.

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  2. Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio.
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  3. Supply chain management based on volatility clustering: The effect of CBDC volatility. (2022). Du, Min ; Wu, Xiangling ; Cui, Tianxiang ; Ding, Shusheng.
    In: Research in International Business and Finance.
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  4. Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. (2021). Mohammed, Walid Abass.
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  5. A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S.
    In: Journal of Banking & Finance.
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  6. Who is the center of local currency Asian government bond markets?. (2021). Tsukuda, Yoshihiko ; Shimada, Junji ; Miyakoshi, Tatsuyoshi.
    In: Japan and the World Economy.
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  8. Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. (2020). Graler, Benedikt ; Scherer, Matthias ; Huttner, Amelie.
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  9. Covariance Prediction in Large Portfolio Allocation. (2019). Zevallos, Mauricio ; Trucíos, Carlos ; Santos, Andre ; Hotta, Luiz ; Trucios, Carlos.
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  10. Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2018). MORANA, CLAUDIO ; Claudio, Morana.
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  11. A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan.
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  12. High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun.
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  13. A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). di Matteo, Tiziana ; Buonocore, Riccardo Junior ; Verma, Anshul.
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  14. Co-movements in Market Prices and Fundamentals: A Semiparametric Multivariate GARCH Approach. (2017). Desboulets, Loann.
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  15. What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors. (2016). Tu, Anthony H ; Chen, Cathy Yi-Hsuan.
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  16. Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio .
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  17. Semiparametric Estimation of Multivariate GARCH Models. (2015). MORANA, CLAUDIO ; Claudio, Morana.
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  18. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks. (2014). MORANA, CLAUDIO.
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  19. Hedge fund systemic risk signals. (2014). Savona, Roberto.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:236:y:2014:i:1:p:282-291.

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  20. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure. (2013). MORANA, CLAUDIO.
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  21. Dynamic factor Value-at-Risk for large heteroskedastic portfolios. (2013). Wu, Jason ; Giudice Rodriguez, Marius del, ; Aramonte, Sirio.
    In: Journal of Banking & Finance.
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  22. Separating the wheat from the chaff: Understanding portfolio returns in an emerging market. (2013). Eterovic, Dalibor.
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  23. New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil. (2013). MORANA, CLAUDIO.
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  24. The systemic risk of energy markets. (2013). Pierret, Diane.
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  25. The systemic risk of energy markets. (2013). Pierret, D.
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  26. Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection. (2011). Stefanova, Denitsa ; Elkamhia, Redouane .
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    In: Marco Fanno Working Papers.
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  29. The 2007-? financial crisis: a euro area money market perspective. (2010). MORANA, CLAUDIO ; Cassola, Nuno.
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  30. Assessing co-ordinated Asian exchange rate regimes: Proposal for a possible move towards a common currency. (2010). Aggarwal, Raj ; Muckley, Cal B..
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  31. Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model. (2009). So, Mike K. P., ; Yip, Iris W. H., .
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  32. Asymmetric multivariate normal mixture GARCH. (2009). Mittnik, Stefan ; Haas, Markus ; Paolella, Marc S..
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  34. Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?. (2008). Kearney, Colm ; Muckley, Cal.
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  35. Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory. (2008). Rosenow, Bernd.
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  38. Multivariate normal mixture GARCH. (2006). Mittnik, Stefan ; Haas, Markus ; Paolella, Marc S..
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  39. Calibration of Interest Rate Models - Transition Market Case. (2004). Vojtek, Martin.
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  41. FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk. (2004). Hyde, Stuart ; Bredin, Don.
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  42. GO-GARCH: a multivariate generalized orthogonal GARCH model. (2002). van der Weide, Roy ; Roy van der Weide, .
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  43. Forex Risk: Measurement and Evaluation using Value-at-Risk. (2002). Hyde, Stuart ; Bredin, Don.
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