A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations (2010)

Cached

Download Links

by Drew Creal , Siem Jan Koopman , André Lucas

Citations:

BibTeX

@MISC{Creal10adynamic,
    author = {Drew Creal and Siem Jan Koopman and André Lucas},
    title = {A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations},
    year = {2010}
}

Bookmark

OpenURL

Abstract

Citations

693	Generalized autoregressive conditional heteroskedasticity - Bollerslev - 1986
555	Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation - Engle - 1982
356	On the Relation Between the Expected Value and Volatility of Nominal Excess Return on Stocks - Glosten, Jagannathan, et al. - 1992
353	Conditional heteroskedasticity in asset returns: a new approach - Nelson - 1991
188	Modeling the coherence in short-run nominal exchange-rates: a multivariate generalized ARCH model - Bollerslev - 1990
164	Fonctions de répartition à n dimensions et leurs marges [Distribution functions to N dimensions and margins - Sklar - 1959
147	F (2002): “Dynamic conditional correlation – a simple class of multivariate GARCH models - Engle
144	Autoregressive conditional duration: a new model for irregularly spaced transaction data - Engle, Russell - 1998
121	A conditionally heteroskedastic time series model for speculative prices and rates of return - Bollerslev - 1987
71	Techniques for verifying the accuracy of risk measurement models - Kupiec - 1995
62	Analysis of Financial Time Series - Tsay - 2005
51	Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. Unpublished manuscript - Engle, Sheppard - 2001
50	Multivariate GARCH models: a survey - Bauwens, Laurent, et al. - 2006
45	Modelling asymmetric exchange rate dependence - Patton - 2006
38	Quantitative Risk Management - McNeil, Frey, et al. - 2005
35	Analysis of high-dimensional multivariate stochastic volatility models - Chib, Nardari, et al. - 2006
29	Asymptotic filtering theory for univariate ARCH models - Nelson, Foster - 1994
25	A multiple indicators model for volatility using intra-daily data - Engle, Gallo - 2006
21	A multivariate GARCH model with time-varying correlations - Tse, Tsui - 2002
18	A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroskedasticity models - Bauwens, Laurent - 2005
17	The Wishart autoregressive process of multivariate stochastic volatility - Gourieroux, Jasiak, et al. - 2009
17	The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes - Jaeckel, Rebonato
9	Copula-Based Models for Financial Time Series - Patton - 2009
7	Consistent estimation of large scale dynamic conditional correlations - Aielli - 2008
7	Modelling multivariate volatilities via conditionally uncorrelated components - Fan, Wang, et al. - 2008
6	Matrix Algebra - Abadir, Magnus - 2005
5	Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models - F - 2002
4	Copula-based multivariate GARCH model with uncorrelated dependent errors - Lee, Long - 2009
3	Generalized Autoregressive Score Models with Applications. Working paper - Creal, Koopman, et al. - 2009
3	Beta–t–(E)GARCH. Unpublished manuscript - Harvey, Chakravarty - 2008
2	Analysis of high-dimensional multivariate stochastic volatility models - S, Shephard - 2006
2	A general framework for observation driven time-varying parameter models. Tinbergen Institute Discussion paper - Creal, Koopman, et al. - 2008
1	Volatility, correlation, and tails for systematic risk measurement - Brownlees, Engle - 2010
1	Engle (2001). Large scale conditional covariance matrix modeling, estimation and testing - Ding, F
1	Object-Oriented Matrix Programming using Ox 6.0 - Doornik - 2009
1	Dynamic equicorrelation. Unpublished manuscript - Engle, Kelly - 2009