Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions

By Fioruci José A.   Ehlers Ricardo S.   Andrade Filho Marinho G.  

Journal of Applied Statistics, Vol. 41, Iss. 2, 2014-02 ,pp. : 320-331

Taylor & Francis Ltd

Access to resources Recommend Favorite

Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model

By Long Xiangdong  

Journal of Business & Economic Statistics, Vol. 29, Iss. 1, 2011-01 ,pp. : 109-125

Taylor & Francis Ltd

Access to resources Recommend Favorite

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

By Creal Drew  

Journal of Business & Economic Statistics, Vol. 29, Iss. 4, 2011-10 ,pp. : 552-563

Taylor & Francis Ltd

Access to resources Recommend Favorite

Evaluating Multivariate GARCH Models in the Nordic Electricity Markets

By Malo P.   Kanto A.  

Communications in Statistics: Simulation and Computation, Vol. 35, Iss. 1, 2006-01 ,pp. : 117-148

Taylor & Francis Ltd

Access to resources Recommend Favorite

Estimation of temporally aggregated multivariate GARCH models

By Hafner Christian M.  

Journal of Statistical Computation and Simulation, Vol. 77, Iss. 8, 2007-01 ,pp. : 629-650

Taylor & Francis Ltd

Access to resources Recommend Favorite