User menu

A Generalized Dynamic Conditional Correlation Model: Simulation and Application To Many Assets

Bibliographic reference Hafner, Christian ; Franses, Philip Hans. A Generalized Dynamic Conditional Correlation Model: Simulation and Application To Many Assets. In: Econometric Reviews, Vol. 28, no. 6, p. 612-631 (2009)
Permanent URL
  1. Asai Manabu, McAleer Michael, Yu Jun, Multivariate Stochastic Volatility: A Review, 10.1080/07474930600713564
  2. Bauwens Luc, Laurent Sébastien, Rombouts Jeroen V. K., Multivariate GARCH models: a survey, 10.1002/jae.842
  3. Bollerslev Tim, Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model, 10.2307/2109358
  4. Bollerslev Tim, Engle Robert F., Wooldridge Jeffrey M., A Capital Asset Pricing Model with Time-Varying Covariances, 10.1086/261527
  5. Campbell J., The Econometrics of Financial Markets (1997)
  6. Cappiello L., Engle R. F., Sheppard K., Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns, 10.1093/jjfinec/nbl005
  7. Caporin M., Econometric Reviews, 26, 24 (2007)
  8. Chan Louis K. C., Karceski Jason, Lakonishok Josef, On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model, 10.1093/rfs/12.5.937
  9. Ding Z., Academia Economic Papers, 29, 157 (2001)
  10. Engle Robert, Dynamic Conditional Correlation : A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models, 10.1198/073500102288618487
  11. Engle R. F., The Methodology and Practice of Econometrics: Papers in Honour of David F. Hendry, forthcoming (2009)
  12. Fleming Jeff, Kirby Chris, Ostdiek Barbara, The Economic Value of Volatility Timing, 10.1111/0022-1082.00327
  13. Fleming Jeff, Kirby Chris, Ostdiek Barbara, The economic value of volatility timing using “realized” volatility, 10.1016/s0304-405x(02)00259-3
  14. Hafner C. M., A Generalized Dynamic Conditional Correlation Model with Applications to Many Asset Returns (2003)
  15. Hafner Christian M., Herwartz Helmut, Testing for linear autoregressive dynamics under heteroskedasticity, 10.1111/1368-423x.00045
  16. Ledoit Olivier, Santa-Clara Pedro, Wolf Michael, Flexible Multivariate GARCH Modeling with an Application to International Stock Markets, 10.1162/003465303322369858
  17. Ling S., Econometric Theory, 19, 280 (2003)
  18. Lütkepohl H., Introduction to Multiple Time Series Analysis. (1993)
  19. McAleer Michael, Chan Felix, Hoti Suhejla, Lieberman Offer, GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION, 10.1017/s0266466608080614
  20. McAleer Michael, Hoti Suhejla, Chan Felix, Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility, 10.1080/07474930802467217
  21. Tse Y. K, Tsui Albert K. C, A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations, 10.1198/073500102288618496