Bayesian Semiparametric Multivariate GARCH Modeling

SSRN Electronic Journal ◽

10.2139/ssrn.2126435 ◽

2012 ◽

Author(s):

Mark J. Jensen ◽

John M. Maheu

Keyword(s):

Multivariate Garch ◽

Bayesian Semiparametric ◽

Garch Modeling

Download Full-text

Bayesian semiparametric multivariate GARCH modeling

Journal of Econometrics ◽

10.1016/j.jeconom.2013.03.009 ◽

2013 ◽

Vol 176 (1) ◽

pp. 3-17 ◽

Cited By ~ 27

Author(s):

Mark J. Jensen ◽

John M. Maheu

Keyword(s):

Multivariate Garch ◽

Bayesian Semiparametric ◽

Garch Modeling

Download Full-text

Multivariate GARCH Modeling of Sector Volatility Transmission: A DCC Model Approach

SSRN Electronic Journal ◽

10.2139/ssrn.1747267 ◽

2011 ◽

Author(s):

Marcelo Brutti Righi ◽

Paulo Sergio Ceretta

Keyword(s):

Multivariate Garch ◽

Volatility Transmission ◽

Garch Modeling ◽

Model Approach

Download Full-text

Multivariate GARCH Modeling and Mean-VaR Analysis in the Presence of Non-normality: an Empirical Investigation of Emerging Stock Markets

SSRN Electronic Journal ◽

10.2139/ssrn.891650 ◽

2006 ◽

Author(s):

George M. Jabbour ◽

Ying Zhang

Keyword(s):

Stock Markets ◽

Empirical Investigation ◽

Multivariate Garch ◽

Var Analysis ◽

Emerging Stock Markets ◽

Garch Modeling

Download Full-text

Multivariate GARCH modeling of sector volatility transmission

The Quarterly Review of Economics and Finance ◽

10.1016/j.qref.2006.05.006 ◽

2007 ◽

Vol 47 (3) ◽

pp. 470-480 ◽

Cited By ~ 64

Author(s):

Syed Aun Hassan ◽

Farooq Malik

Keyword(s):

Multivariate Garch ◽

Volatility Transmission ◽

Garch Modeling

Download Full-text

Multivariate GARCH Modeling

Modeling Financial Time Series with S-Plus® ◽

10.1007/978-0-387-21763-5_13 ◽

2003 ◽

pp. 461-498

Author(s):

Eric Zivot ◽

Jiahui Wang

Keyword(s):

Multivariate Garch ◽

Garch Modeling

Download Full-text

Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System

Financial Review ◽

10.1111/j.1540-6288.2000.tb01405.x ◽

2000 ◽

Vol 35 (1) ◽

pp. 29-48 ◽

Cited By ~ 105

Author(s):

Colm Kearney ◽

Andrew J. Patton

Keyword(s):

Exchange Rate ◽

Exchange Rate Volatility ◽

European Monetary System ◽

Multivariate Garch ◽

European Monetary ◽

Volatility Transmission ◽

Monetary System ◽

Garch Modeling

Download Full-text

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

SSRN Electronic Journal ◽

10.2139/ssrn.311514 ◽

2002 ◽

Cited By ~ 5

Author(s):

Olivier Ledoit ◽

Pedro Santa-Clara ◽

Michael NMI Wolf

Keyword(s):

Stock Markets ◽

Multivariate Garch ◽

International Stock Markets ◽

Garch Modeling

Download Full-text

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Review of Economics and Statistics ◽

10.1162/003465303322369858 ◽

2003 ◽

Vol 85 (3) ◽

pp. 735-747 ◽

Cited By ~ 156

Author(s):

Olivier Ledoit ◽

Pedro Santa-Clara ◽

Michael Wolf

Keyword(s):

Stock Markets ◽

Multivariate Garch ◽

International Stock Markets ◽

Garch Modeling

Download Full-text

Multivariate GARCH Modeling

Modeling Financial Time Series with S-PLUS® ◽

10.1007/0-387-32348-1_13 ◽

2006 ◽

pp. 481-518

Keyword(s):

Multivariate Garch ◽

Garch Modeling

Download Full-text

Multivariate GARCH Modeling

Modeling Financial Time Series with S-PLUS® ◽

10.1007/978-0-387-32348-0_13 ◽

2007 ◽

pp. 481-518

Keyword(s):

Multivariate Garch ◽

Garch Modeling

Download Full-text