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The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Tailabhängigkeit und Asymmetrie in multivariaten Finanzmarktdaten

Klein, Ingo; Fischer, Matthias - In: Finanzintermediation : theoretische, …, (pp. 69-101). 2004

Persistent link: https://www.econbiz.de/10002078246

Multi-dimensional Markov functional models in option pricing

Seifert, Thomas (contributor) - 2004

Persistent link: https://www.econbiz.de/10002538863

Goodness-of-fit tests for parametric families of Archimedean copulas

Trede, Mark; Savu, Cornelia - 2004

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Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...