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Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2010
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Rev.
Persistent link: https://www.econbiz.de/10008689067
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Ranking multivariate GARCH models by problem dimension : an empirical evaluation
Caporin, Massimiliano
;
McAleer, Michael
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2011
Persistent link: https://www.econbiz.de/10009412785
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Robust ranking of multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2012
Persistent link: https://www.econbiz.de/10009562979
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4
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
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