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A latent factor model of multivariate conditional heteroscedasticity
Aguilar, Mike - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 481-503
Persistent link: https://www.econbiz.de/10003907529
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Special issue on "Multivariate volatility models"
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003907531
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Structural conditional correlation
Weber, Enzo - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 392-407
Persistent link: https://www.econbiz.de/10003997412
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Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 591-623
Persistent link: https://www.econbiz.de/10003570734
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On the optimal estimating function method for conditional correlation models
Chen, Yi-ting - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
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Volatility threshold dynamic conditional correlations : an international analysis
Kasch-Haroutounian, Maria; Caporin, Massimiliano - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 706-742
Persistent link: https://www.econbiz.de/10010233862
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GARCH option pricing models, the CBOE VIX, and variance risk premium
Hao, Jinji; Zhang, Jin E. - In: Journal of financial econometrics : official journal of … 11 (2013) 3, pp. 556-580
Persistent link: https://www.econbiz.de/10009786515
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Decomposing US Stock Market Comovement into spillovers and common factors
Weber, Enzo - In: The North American journal of economics and finance : a … 26 (2013), pp. 106-118
Persistent link: https://www.econbiz.de/10010364818
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How does news sentiment impact asset volatility? : evidence from long memory and regime-switching approaches
Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American journal of economics and finance : a … 26 (2013), pp. 436-456
Persistent link: https://www.econbiz.de/10010367572
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Time-varying mixture GARCH models and asymmetric volatility
Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - In: The North American journal of economics and finance : a … 26 (2013), pp. 602-623
Persistent link: https://www.econbiz.de/10010370491