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

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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

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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

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The Risk-Return Tradeoff in International Stock Markets: One-Step Multivariate GARCH-M Estimation with Many Assets

SSRN Electronic Journal ◽

10.2139/ssrn.2799573 ◽

2016 ◽

Author(s):

Geert Dhaene ◽

Piet Sercu ◽

Wu Jianbin

Keyword(s):

Stock Markets ◽

Multivariate Garch ◽

Risk Return ◽

International Stock Markets ◽

One Step ◽

M Estimation

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Investor Overreaction in International Stock Markets

CFA Digest ◽

10.2469/dig.v30.n1.612 ◽

2000 ◽

Vol 30 (1) ◽

pp. 31-32

Author(s):

Janet Yuen

Keyword(s):

Stock Markets ◽

International Stock Markets

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Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets

CFA Digest ◽

10.2469/dig.v32.n2.1072 ◽

2002 ◽

Vol 32 (2) ◽

pp. 54-56

Author(s):

Keith H. Black

Keyword(s):

Stock Markets ◽

Earnings Forecasts ◽

International Stock Markets

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Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets

CFA Digest ◽

10.2469/dig.v43.n3.37 ◽

2013 ◽

Vol 43 (3) ◽

Author(s):

Thomas M. Arnold

Keyword(s):

Cross Section ◽

Stock Markets ◽

Expected Returns ◽

International Stock Markets ◽

The Cross

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Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

Jurnal Ilmiah Poli Rekayasa ◽

10.30630/jipr.11.1.15 ◽

2015 ◽

Vol 11 (1) ◽

pp. 13

Author(s):

Elfa Rafulta ◽

Roni Tri Putra

Keyword(s):

Time Series ◽

Stock Market ◽

Stock Markets ◽

Financial Data ◽

International Stock Markets

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

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