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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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Block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008688575
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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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Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008695598
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Ten things you should know about the dynamic conditional correlation representation
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009771098
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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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Ten things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009723138
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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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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