Narrow search
Showing 1 - 10 of 10
Cover Image
Multivariate GARCH models : a survey
Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - In: Journal of applied econometrics 21 (2006) 1, pp. 79-109
Persistent link: https://www.econbiz.de/10003310013
Cover Image
Rationality of inflation-output forecasts of MMS survey : international evidence
Ulu, Yasemin - In: Applied economics 47 (2015) 10/12, pp. 1187-1198
Persistent link: https://www.econbiz.de/10010486260
Cover Image
Robust ranking of multivariate GARCH models by problem dimension
Caporin, Massimiliano; McAleer, Michael - 2012
Persistent link: https://www.econbiz.de/10009562979
Cover Image
Multivariate GARCH models : software choice and estimation issues
Brooks, Chris; Burke, Simon P.; Persand, Gita - In: Journal of applied econometrics 18 (2003) 6, pp. 725-734
Persistent link: https://www.econbiz.de/10001843509
Cover Image
Multivariate high-frequency-based volatility (heavy) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 27 (2012) 6, pp. 907-933
Persistent link: https://www.econbiz.de/10010219743
Cover Image
Spillover effects in the global copper futures markets: asymmetric multivariate GARCH approaches
Lee, Hyun-Bock; Park, Cheol-Ho - In: Applied economics 52 (2020) 54, pp. 5909-5920
Persistent link: https://www.econbiz.de/10012308379
Cover Image
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262
Persistent link: https://www.econbiz.de/10011774739
Cover Image
Volatility spillovers and heavy tails : a large t-Vector AutoRegressive approach
Barbaglia, Luca; Croux, Christophe; Wilms, Ines - 2017
Persistent link: https://www.econbiz.de/10011799030
Cover Image
The global component of inflation volatility
Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721
Persistent link: https://www.econbiz.de/10013332682
Cover Image
Time-varying multivariate causality among infectious disease pandemic and emerging financial markets : the case of the Latin American stock and exchange markets
Coronado, Semei; Martínez, José; Romero, Rafael - In: Applied economics 54 (2022) 34, pp. 3924-3932
Persistent link: https://www.econbiz.de/10013410854