Results 111 to 120 of about 1,876 (209)

Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]

Entropy (Basel)
Than HT.
europepmc   +1 more source

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models [PDF]

, 2010
Massimiliano Caporin, Michael McAleer
openalex  

Multivariate Autocontours for Specification Testing in Multivariate GARCH Models* [PDF]

, 2010
Gloria Gonzalez-Rivera, Emre Yoldas
openaire   +1 more source

Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]

PLoS One
Zeng J, Wu J.
europepmc   +1 more source

Application and Diagnostic Checking of Univariate and Multivariate GARCH Models in Serbian Financial Market [PDF]

, 2008
Jelena Minović
openalex  

A Multivariate GARCH Model with Time-Varying Correlations

, 2000
Yiu Kuen Tse, Albert K. Tsui
openalex   +1 more source

AI-Carbon-Energy: Spillover effects and drivers in interconnected markets. [PDF]

iScience
Zhang M, Pan Y, Su B, Zhou D.
europepmc   +1 more source

Bayesian Semiparametric Multivariate Realized GARCH Modeling [PDF]

Efthimios Nikolakopoulos
openalex   +1 more source

Dynamic forecasting and mechanisms of volatility synchronization in complex financial systems. [PDF]

PLoS One
Li JC, Guo J, Ma R, Zhong G.
europepmc   +1 more source

Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach

, 2001
GianCarlo Moschini, Robert J. Myers, Moschini, GianCarlo, Myers, Robert J.   +3 more
openalex   +2 more sources