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Dynamic Conditional Correlation: On Properties and Estimation. (2013). Aielli, Gian Piero .
In: Journal of Business & Economic Statistics.
RePEc:taf:jnlbes:v:31:y:2013:i:3:p:282-299.

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  83. Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian.
    In: Journal of Econometrics.
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  84. Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix. (2020). Tse, Yiu-Kuen ; Dong, Yingjie.
    In: Economics Letters.
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  85. Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
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  86. Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, L.
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  87. A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger.
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  88. Multivariate Crash Risk. (2019). Weigert, Florian ; Huggenberger, Markus ; Chabi-Yo, Fousseni.
    In: Working Papers on Finance.
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  89. Volatility-dependent correlations: further evidence of when, where and how. (2019). Silvennoinen, Annastiina ; Clements, Adam ; Scott, Ayesha.
    In: Empirical Economics.
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  90. Dynamic integration and network structure of the EMU sovereign bond markets. (2019). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Hacihasanoglu, Erk ; Rostom, Ahmed.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2831-1.

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  91. A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2019). Fantazzini, Dean ; Zimin, Stephan.
    In: MPRA Paper.
    RePEc:pra:mprapa:95988.

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  92. Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel.
    In: MPRA Paper.
    RePEc:pra:mprapa:95965.

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  93. Factor High-Frequency-Based Volatility (HEAVY) Models. (2019). Xu, Wen ; Sheppard, Kevin.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:17:y:2019:i:1:p:33-65..

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  94. Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa.
    In: LEO Working Papers / DR LEO.
    RePEc:leo:wpaper:2709.

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  95. The roles of inter-fuel substitution and inter-market contagion in driving energy prices: evidences from China’s coal market. (2019). Long, Houyin ; Xie, Chunping ; Li, Jianglong.
    In: LSE Research Online Documents on Economics.
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  96. Dynamic spillover effects among derivative markets in tanker shipping. (2019). Liu, Hailong ; Haralambides, Hercules ; Sun, Xiaolin.
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:122:y:2019:i:c:p:384-409.

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  97. Interdependence among agricultural commodity markets, macroeconomic factors, crude oil and commodity index. (2019). Fernandez-Diaz, Jose M ; Morley, Bruce.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:47:y:2019:i:c:p:174-194.

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  98. Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

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  99. Energy, precious metals, and GCC stock markets: Is there any risk spillover?. (2019). Sensoy, Ahmet ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:56:y:2019:i:c:p:45-70.

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  100. Directional spillover effects between ASEAN and world stock markets. (2019). Uddin, Gazi ; Troster, Victor ; Yoon, Seong-Min ; Kang, Sang Hoon.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19300751.

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  101. Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model. (2019). Civcir, Ä°rfan ; Akkoc, Ugur.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:231-239.

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  102. The Brexit vote and currency markets. (2019). Urquhart, Andrew ; McGroarty, Frank ; Dao, Thong M.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:59:y:2019:i:c:p:153-164.

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  103. Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis. (2019). Zhou, Zhongbao ; Lin, Ling ; Jiang, Yong ; Liu, Qing.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:29:y:2019:i:c:p:245-254.

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  104. The roles of inter-fuel substitution and inter-market contagion in driving energy prices: Evidences from China’s coal market. (2019). Li, Jianglong ; Long, Houyin ; Xie, Chunping.
    In: Energy Economics.
    RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303202.

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  105. Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem.
    In: Energy Economics.
    RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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  106. Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2019). MORANA, CLAUDIO.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:12:y:2019:i:c:p:42-65.

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  107. Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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  108. Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

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  109. DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2019025.

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  110. Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel.
    In: Papers.
    RePEc:arx:papers:1909.04661.

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  111. Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?. (2018). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe.
    In: Working Papers.
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  112. Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. (2018). Barassi, Marco ; Zhao, Yuqian ; Horvath, Lajos.
    In: MPRA Paper.
    RePEc:pra:mprapa:87837.

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  113. A Class of Generalized Dynamic Correlation Models. (2018). He, Zhongfang.
    In: MPRA Paper.
    RePEc:pra:mprapa:84820.

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  114. The Log-GARCH Model via ARMA Representations. (2018). Sucarrat, Genaro.
    In: MPRA Paper.
    RePEc:pra:mprapa:100386.

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  115. Structural Volatility Impulse Response Function and Asymptotic Inference. (2018). Liu, Xiaochun.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:16:y:2018:i:2:p:316-339..

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  116. Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2018). MORANA, CLAUDIO ; Claudio, Morana.
    In: Working Papers.
    RePEc:mib:wpaper:382.

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  117. Dynamic Integration and Network Structure of the EMU Sovereign Bond Markets. (2018). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Hacihasanoglu, Erk ; Rostom, Ahmed.
    In: Working Papers.
    RePEc:ipg:wpaper:2018-009.

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  118. On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01710398.

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  119. Can Bitcoin Replace Gold in an Investment Portfolio?. (2018). Sadorsky, Perry ; Henriques, Irene.
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:48-:d:163664.

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  120. Risk-Based Portfolios with Large Dynamic Covariance Matrices. (2018). Yoshida, Kenichi ; Imamura, Mitsuyoshi ; Nakagawa, Kei.
    In: IJFS.
    RePEc:gam:jijfss:v:6:y:2018:i:2:p:52-:d:146287.

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  121. Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2018). McAleer, Michael ; Chang, Chia-Lin.
    In: Energies.
    RePEc:gam:jeners:v:11:y:2018:i:6:p:1595-:d:153161.

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  122. On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar.
    In: Textos para discussão.
    RePEc:fgv:eesptd:474.

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  123. Oil–gold time varying nexus: A time–frequency analysis. (2018). Khalfaoui, Rabeh .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:503:y:2018:i:c:p:86-104.

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  124. MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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  125. Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro.
    In: Energy Economics.
    RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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  126. Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. (2018). Peresetsky, Anatoly ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila.
    In: Econometrics and Statistics.
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  127. Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Alexakis, Christos ; Pappas, Vasileios.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239.

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  128. Volatility, diversification and contagion. (2018). Sentana, Enrique.
    In: CEPR Discussion Papers.
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  129. Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, Luc ; Otrando, E.
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    RePEc:cns:cnscwp:201803.

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  130. Volatility, Diversification and Contagion. (2018). Sentana, Enrique.
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    RePEc:cmf:wpaper:wp2018_1803.

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  131. Large dynamic covariance matrices. (2017). Wolf, Michael ; Ledoit, Olivier ; Engle, Robert.
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  132. Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20170082.

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  133. Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model. (2017). Kohn, Maximilian-Benedikt Herwarth ; Zhang, Xibin ; Valls, Pedro L.
    In: Cogent Economics & Finance.
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  134. The impact of oil price volatility on net-oil exporter and importer countries’ stock markets. (2017). Yelkenci, Tezer ; Tun, Goke ; Aydoan, Berna.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:7:y:2017:i:2:d:10.1007_s40822-017-0065-1.

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  135. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Sauri, Orimar ; Lunde, Asger ; Boudt, Kris.
    In: Post-Print.
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  136. Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:101761.

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  137. Modelling correlation dynamics of EMU sovereign debt markets during the recent turmoil. (2017). Babalos, Vassilios ; Stavroyiannis, Stavros.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:42:y:2017:i:c:p:1021-1029.

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  138. Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach. (2017). Tsukuda, Yoshihiko ; Miyakoshi, Tatsuyoshi ; Shimada, Junji.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:51:y:2017:i:c:p:193-213.

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  139. Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?. (2017). Shahzad, Syed Jawad Hussain ; Jareño, Francisco ; Hussain, Syed Jawad ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:49:y:2017:i:c:p:453-483.

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  140. Real exchange rate returns and real stock price returns. (2017). Wong, Hock Tsen .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:49:y:2017:i:c:p:340-352.

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  141. Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach. (2017). Liu, Zhixue ; Gu, Huaying ; Weng, Yingliang .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:471:y:2017:i:c:p:460-472.

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  142. Time-varying volatility spillovers between stock and precious metal markets with portfolio implications. (2017). Mensi, walid ; Kang, Sang Hoon ; Al-Yahyaee, Khamis Hamed.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:53:y:2017:i:c:p:88-102.

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  143. An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

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  144. Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FÜSS, .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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  145. Not all emerging markets are the same: A classification approach with correlation based networks. (2017). Tabak, Benjamin ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Ozturk, Kevser .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:33:y:2017:i:c:p:163-186.

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  146. Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. (2017). Sensoy, Ahmet ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon ; Wanas, Idries Mohammad.
    In: Energy Economics.
    RePEc:eee:eneeco:v:67:y:2017:i:c:p:454-475.

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  147. Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon.
    In: Energy Economics.
    RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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  148. A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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  149. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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  150. Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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  151. Macroeconomic and financial effects of oil price shocks: Evidence for the euro area. (2017). MORANA, CLAUDIO.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:64:y:2017:i:c:p:82-96.

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  152. Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro .
    In: Borsa Istanbul Review.
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  153. On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin .
    In: Working Papers.
    RePEc:awi:wpaper:0636.

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  154. An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks. (2016). Chong, Sio ; Liu, Lihong ; Ding, Deng ; So, Jacky.
    In: International Journal of Financial Engineering (IJFE).
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  155. Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance. (2016). Füss, Roland ; Adams, Zeno ; Fuess, Roland.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2016:13.

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  156. Volatility spillovers for spot, futures, and ETF prices in energy and agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1611.

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  157. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1601.

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  158. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160046.

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  159. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160006.

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  160. Impact of sovereign rating changes on stock market co-movements: the case of Latin America. (2016). Sensoy, Ahmet.
    In: Applied Economics.
    RePEc:taf:applec:v:48:y:2016:i:28:p:2600-2610.

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  161. Volatility Dependent Dynamic Equicorrelation. (2016). Silvennoinen, Annastiina ; Clements, Adam ; Scott, Ayesha .
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2016_02.

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  162. Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting. (2016). Nguyen, Duc Khuong ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon.
    In: MPRA Paper.
    RePEc:pra:mprapa:73400.

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  163. Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro.
    In: MPRA Paper.
    RePEc:pra:mprapa:72736.

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  164. Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models. (2016). Sanhaji, Bilel ; PEGUIN-FEISSOLLE, Anne.
    In: Post-Print.
    RePEc:hal:journl:hal-01448238.

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  165. On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?. (2016). Olmo, Jose ; Fuertes, Ana-Maria.
    In: JRFM.
    RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:10-:d:77912.

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  166. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:93115.

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  167. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:79731.

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  168. A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds. (2016). Wang, Zihe ; Li, Johnny Siu-Hang.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:16:y:2016:i:c:p:103-111.

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  169. Will the crisis “tear us apart”? Evidence from the EU. (2016). Ingham, Hilary ; Steele, Gerry ; Izzeldin, Marwan ; Pappas, Vasileios.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

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  170. Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets. (2016). Kanamura, Takashi .
    In: Energy Economics.
    RePEc:eee:eneeco:v:54:y:2016:i:c:p:204-212.

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  171. Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

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  27. Sector diversification during crises: a European perspective. (2006). Szafarz, Ariane ; Beine, Michel ; Preumont, Pierre-Yves .
    In: DULBEA Working Papers.
    RePEc:dul:wpaper:06-07rs.

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  28. Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis. (2006). Kouretas, Georgios ; Zarangas, Leonidas ; Diamandis, Panayiotis.
    In: Working Papers.
    RePEc:crt:wpaper:0602.

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  29. Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar. (2006). Siourounis, Gregorios ; Portes, Richard ; Papaioannou, Elias.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5734.

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  30. Stock exchanges industry consolidation and shock transmission.. (2006). Idier, Julien.
    In: Working papers.
    RePEc:bfr:banfra:159.

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  31. Valuing Volatility Spillovers. (2005). Thorp, Susan ; Milunovich, George.
    In: International Finance.
    RePEc:wpa:wuwpif:0506008.

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  32. Correlation Dynamics in European Equity Markets. (2005). Potì, Valerio ; Kearney, Colm ; Poti, Valerio.
    In: Finance.
    RePEc:wpa:wuwpfi:0507008.

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  33. International Stock-Bond Correlations in a Simple Affine Asset Pricing Model. (2005). d'Addona, Stefano ; Kind, Axel H..
    In: Finance.
    RePEc:wpa:wuwpfi:0502018.

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  34. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: Research Paper Series.
    RePEc:uts:rpaper:168.

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  35. Accurate Yield Curve Scenarios Generation using Functional Gradient Descent. (2005). Trojani, Fabio ; Audrino, Francesco.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:14.

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  36. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0577.

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  37. Bond Market and Stock Market Integration in Europe. (2005). Jansen, W. Jos ; Berben, Robert-Paul.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:060.

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  38. Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model. (2004). Dark, Jonathan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-7.

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  39. Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures. (2004). Dark, Jonathan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-4.

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  40. Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets. (2004). Potì, Valerio ; Kearney, Colm ; Poti, Valerio.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp015.

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  41. Regime Switching for Dynamic Correlations. (2004). Pelletier, Denis.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:230.

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  42. A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets. (2004). van den Goorbergh, Rob.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:022.

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  43. Comovement in international equity markets: A sectoral view. (2003). Jansen, W. Jos ; Berben, Robert-Paul.
    In: Finance.
    RePEc:wpa:wuwpfi:0310001.

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  44. Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach. (2003). Suleimann Lemand, Ryan.
    In: Econometrics.
    RePEc:wpa:wuwpem:0307004.

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  45. New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach. (2003). Suleimann Lemand, Ryan.
    In: Econometrics.
    RePEc:wpa:wuwpem:0307003.

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  46. Test for Breaks in the Conditional Co-Movements of Asset Returns. (2003). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:3-2003.

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  47. C-CAPM and the Cross-Section of Sharpe Ratios. (2003). Söderlind, Paul.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0018.

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  48. C-CAPM and the Cross-Section of Sharpe Ratios. (2003). Söderlind, Paul.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4067.

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  49. New frontiers for arch models. (2002). Engle, Robert.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:425-446.

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  50. Tests for Breaks in the Conditional Co-movements of Asset Returns. (2002). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-59.

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