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Block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008688575
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Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669311
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Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008689067
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Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008689069
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Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, Massimiliano; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008760500
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Ranking multivariate GARCH models by problem dimension : an empirical evaluation
Caporin, Massimiliano; McAleer, Michael - 2011
Persistent link: https://www.econbiz.de/10009412785