Pages that link to "Item:Q5392691"
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The following pages link to A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations (Q5392691):
Displaying 19 items.
- Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis (Q819435) (← links)
- Forecasting conditional correlations in stock, bond and foreign exchange markets (Q834304) (← links)
- The impact of general non-parametric volatility functions in multivariate GARCH models (Q959389) (← links)
- A multivariate threshold stochastic volatility model (Q960327) (← links)
- A generalized dynamic conditional correlation model for portfolio risk evaluation (Q1025339) (← links)
- Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns (Q1604080) (← links)
- Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks (Q1623507) (← links)
- Dynamic factor multivariate GARCH model (Q1623556) (← links)
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (Q2116329) (← links)
- Multivariate leverage effects and realized semicovariance GARCH models (Q2190232) (← links)
- Joint forecasts of Dow Jones stocks under general multivariate loss function (Q2445692) (← links)
- Modeling tick-by-tick realized correlations (Q2445693) (← links)
- Sequential conditional correlations: inference and evaluation (Q2630121) (← links)
- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets (Q3182774) (← links)
- A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks (Q5080547) (← links)
- Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations (Q5245468) (← links)
- Dynamic conditional eigenvalue GARCH (Q6090564) (← links)
- Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects (Q6090566) (← links)
- Sequential detection of parameter changes in dynamic conditional correlation models (Q6579557) (← links)
