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Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
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2010
Persistent link: https://www.econbiz.de/10008664052
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2
Block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
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2009
Persistent link: https://www.econbiz.de/10003987296
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3
Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models
Caporin, Massimiliano
;
McAleer, Michael
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2010
Persistent link: https://www.econbiz.de/10003987333
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4
Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
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2010
Persistent link: https://www.econbiz.de/10003987665
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5
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, Massimiliano
;
McAleer, Michael
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2010
Persistent link: https://www.econbiz.de/10003987667
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6
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011432792
Saved in:
7
Ten things you should know about DCC
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009744766
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8
Ten things you should know about the dynamic conditional correaltion representation
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009754989
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9
Ranking multivariate GARCH models by problem dimension: an empirical evaluation
Caporin, Massimiliano
;
McAleer, Michael
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619365
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10
Robust ranking of multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
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2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619553
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