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Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models
Caporin, Massimiliano; Preś, Juliusz - In: Journal of forecasting 32 (2013) 4, pp. 339-352
Persistent link: https://www.econbiz.de/10010137227
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DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS
Caporin, Massimiliano; McAleer, Michael - In: Journal of economic surveys 26 (2012) 4, pp. 736-752
Persistent link: https://www.econbiz.de/10010000502
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Equity and CDS sector indices: Dynamic models and risk hedging
Caporin, Massimiliano - In: The North American journal of economics and finance : a … 25 (2013), pp. 261-275
Persistent link: https://www.econbiz.de/10010134054
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Periodic Long-Memory GARCH Models
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco - In: Econometric reviews 28 (2009) 1, pp. 60-82
Persistent link: https://www.econbiz.de/10008160779
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Scalar BEKK and indirect DCC
Caporin, Massimiliano; Mcaleer, Michael - In: Journal of forecasting 27 (2008) 6, pp. 537
Persistent link: https://www.econbiz.de/10008098623
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Variance (Non) Causality in Multivariate GARCH
Caporin, Massimiliano - In: Econometric reviews 26 (2007) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10007609585
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Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, Massimiliano; McAleer, Michael - In: Statistica Neerlandica : journal of the Netherlands … 65 (2011) 2, pp. 125-164
Persistent link: https://www.econbiz.de/10008930829
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Periodic Long-Memory GARCH Models
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco - In: Econometric reviews 28 (2008) 1, pp. 60-83
Persistent link: https://www.econbiz.de/10009266582