Modeling and Forecasting the Volatility of Some Industry Development Indicators in Ethiopia Using Multivariate GARCH Models [PDF]
, 2023 Getachew Abate Dagnew +2 more
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Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns
Ensayos Revista de Economía, 2016 We study the dynamics, volatilities, and interrelations of the Mexican (MME), Brent and WTI oil returns with twelve multivariate GARCH models. The main results suggest that: 1) The volatility of MME is bigger than the one of the WTI but smaller than the ...
Antonio Ruiz-Porras +1 more
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Multivariate Autocontours for Specification Testing in Multivariate GARCH Models* [PDF]
, 2010 Gloria Gonzalez-Rivera, Emre Yoldas
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bmgarch: An R-Package for Bayesian Multivariate GARCH models [PDF]
, 2021 Philippe Rast, Stephen R. Martin
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QML estimation of a class of multivariate GARCH models without moment conditions on the observed process [PDF]
, 2010 Christian Francq, Jean‐Michel Zakoïan
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Application and Diagnostic Checking of Univariate and Multivariate GARCH Models in Serbian Financial Market [PDF]
, 2008 Jelena Minović
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Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models [PDF]
, 2010 Massimiliano Caporin, Michael McAleer
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Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models
, 2019 Xiaohong Chen, Zhuo Huang, Yanping Yi
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