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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

Volatility linkages across three major equity markets : a financial arbitrage approach

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of international money and finance 24 (2005) 3, pp. 413-439

Persistent link: https://www.econbiz.de/10002738497

An empirical study of a conditional international asset pricing model for US, Japanese, and European stock and government bond markets

Fearnley, Tom Arild - 2002

Persistent link: https://www.econbiz.de/10002260646

Testing the structure of conditional correlations in multivariate GARCH models : a generalized cross-spectrum approach

McCloud, Nadine; Hong, Yongmiao - In: International economic review 52 (2011) 4, pp. 991-1037

Persistent link: https://www.econbiz.de/10009385429

Generalized dynamic factor model + GARCH exploiting multivariate information for univariate prediction

Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2007

We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns....

Persistent link: https://www.econbiz.de/10003321460