1. Time-Varying Multivariate Causal Processes. (2022). Yan, Yayi ; Wu, Wei Biao ; Gao, Jiti ; Peng, Bin.
   In: Monash Econometrics and Business Statistics Working Papers.
   RePEc:msh:ebswps:2022-8.

   Full description at Econpapers || Download paper

2. On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2022). de Peretti, Christian ; Sabkha, Saker.
   In: Post-Print.
   RePEc:hal:journl:hal-01710398.

   Full description at Econpapers || Download paper

3. High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis. (2022). Yarovaya, Larisa ; Katsiampa, Paraskevi ; Ziba, Damian.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000610.

   Full description at Econpapers || Download paper

4. Time-Varying Multivariate Causal Processes. (2022). GAO, Jiti ; Yan, Yayi ; Wu, Wei Biao ; Peng, Bin.
   In: Papers.
   RePEc:arx:papers:2206.00409.

   Full description at Econpapers || Download paper

5. Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold. (2021). Demirer, Riza ; Bekun, Festus ; Balcilar, Mehmet.
   In: Mathematics.
   RePEc:gam:jmathe:v:9:y:2021:i:8:p:915-:d:539853.

   Full description at Econpapers || Download paper

6. Covariance Principle for Capital Allocation: A Time-Varying Approach. (2021). Urbina, Jilber ; Guillen, Montserrat ; Santolino, Miguel.
   In: Mathematics.
   RePEc:gam:jmathe:v:9:y:2021:i:16:p:2005-:d:619131.

   Full description at Econpapers || Download paper

7. Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS. (2021). Goutte, Stéphane ; Gana, Marjene ; Guesmi, Khaled ; Ayadi, Ahmed.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:76:y:2021:i:c:p:376-423.

   Full description at Econpapers || Download paper

8. The changing role of foreign investors in Tokyo stock price formation. (2021). Watkins, Clinton ; Iwatsubo, Kentaro.
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x2100055x.

   Full description at Econpapers || Download paper

9. A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Polak, Pawe ; Walker, Patrick S ; Paolella, Marc S.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

   Full description at Econpapers || Download paper

10. Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models. (2021). Zhang, QI ; Di, Peng ; Farnoosh, Arash.
    In: Energy.
    RePEc:eee:energy:v:223:y:2021:i:c:s0360544221002991.

    Full description at Econpapers || Download paper

11. Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives. (2021). Goh, Mark ; Cui, Jinxin ; Zou, Huiwen ; Li, Binlin.
    In: Energy.
    RePEc:eee:energy:v:216:y:2021:i:c:s0360544220324099.

    Full description at Econpapers || Download paper

12. Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach. (2020). Liang, Zhicheng ; Lai, Kin Keung ; Wang, Junwei.
    In: International Journal of Information Technology & Decision Making (IJITDM).
    RePEc:wsi:ijitdm:v:19:y:2020:i:01:n:s0219622019500445.

    Full description at Econpapers || Download paper

13. A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2020). Fantazzini, Dean ; Zimin, Stephan.
    In: Economia e Politica Industriale: Journal of Industrial and Business Economics.
    RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00136-8.

    Full description at Econpapers || Download paper

14. Volatility and asymmetric dependence in Central and East European stock markets. (2020). Vo, Thi Thuy Anh ; Mollah, Sabur ; Joseph, Nathan Lael ; Mobarek, Asma.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:55:y:2020:i:4:d:10.1007_s11156-020-00874-0.

    Full description at Econpapers || Download paper

15. Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Hou, Yang ; Li, Steven.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

    Full description at Econpapers || Download paper

16. Las correlaciones dinámicas de contagio financiero:Estados Unidos y América Latina. (2019). Hernandez, Ignacio Perrotini ; Benavides, Domingo Rodriguez.
    In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance).
    RePEc:imx:journl:v:14:y:2019:i:2:p:151-168.

    Full description at Econpapers || Download paper

17. Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China. (2019). Chang, Chia-Lin ; Tian, Jiarong.
    In: Energies.
    RePEc:gam:jeners:v:12:y:2019:i:8:p:1475-:d:224091.

    Full description at Econpapers || Download paper

18. An empirical investigation of volatility dynamics in the cryptocurrency market. (2019). Katsiampa, Paraskevi.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:50:y:2019:i:c:p:322-335.

    Full description at Econpapers || Download paper

19. Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2019). MORANA, CLAUDIO.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:12:y:2019:i:c:p:42-65.

    Full description at Econpapers || Download paper

20. Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Faldzinski, Marcin ; Fadziski, Marcin.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

    Full description at Econpapers || Download paper

21. Integración entre mercados de petróleo de diferente calidad con base en las correlaciones condicionales dinámicas. (2019). de Jesus-Gutierrez, Raul.
    In: Revista Finanzas y Politica Economica.
    RePEc:col:000443:018462.

    Full description at Econpapers || Download paper

22. Short-Selling Bans and the Global Financial Crisis: Are they Inter-Connected?. (2018). Siklos, Pierre ; Martin, Badye Essid.
    In: LCERPA Working Papers.
    RePEc:wlu:lcerpa:0112.

    Full description at Econpapers || Download paper

23. Determinantes del crédito y la morosidad en México / Determinants of credit and defaulting in Mexico. (2018). López-Herrera, Francisco ; Ake, Salvador Cruz ; Garcia, Reyna Susana.
    In: Estocástica: finanzas y riesgo.
    RePEc:sfr:efruam:v:8:y:2018:i:1:p:85-104.

    Full description at Econpapers || Download paper

24. Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2018). MORANA, CLAUDIO ; Claudio, Morana.
    In: Working Papers.
    RePEc:mib:wpaper:382.

    Full description at Econpapers || Download paper

25. Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA. (2018). Daniels, Joseph P ; Nourzad, Farrokh ; Daelemans, Bram.
    In: Open Economies Review.
    RePEc:kap:openec:v:29:y:2018:i:1:d:10.1007_s11079-017-9472-x.

    Full description at Econpapers || Download paper

26. On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01710398.

    Full description at Econpapers || Download paper

27. Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). Chang, Chia-Lin ; Hsieh, Tai-Lin.
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:58-:d:172906.

    Full description at Econpapers || Download paper

28. Can Bitcoin Replace Gold in an Investment Portfolio?. (2018). Sadorsky, Perry ; Henriques, Irene.
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:48-:d:163664.

    Full description at Econpapers || Download paper

29. Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2018). Chang, Chia-Lin.
    In: Energies.
    RePEc:gam:jeners:v:11:y:2018:i:6:p:1595-:d:153161.

    Full description at Econpapers || Download paper

30. Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). Chang, Chia-Lin ; Hsieh, T-L., ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:111552.

    Full description at Econpapers || Download paper

31. Trends and contagion in WTI and Brent crude oil spot and futures markets - The role of OPEC in the last decade. (2018). Klein, Tony.
    In: Energy Economics.
    RePEc:eee:eneeco:v:75:y:2018:i:c:p:636-646.

    Full description at Econpapers || Download paper

32. Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20170082.

    Full description at Econpapers || Download paper

33. Connecting VIX and Stock Index ETF. (2017). Chang, Chia-Lin ; Hsieh, Tai-Lin.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160010.

    Full description at Econpapers || Download paper

34. Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations. (2017). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet.
    In: Sustainability.
    RePEc:gam:jsusta:v:9:y:2017:i:10:p:1799-:d:114094.

    Full description at Econpapers || Download paper

35. Asset Co-movements: Features and Challenges. (2017). Gospodinov, Nikolay.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2017-11.

    Full description at Econpapers || Download paper

36. Connecting VIX and Stock Index ETF. (2017). Chang, Chia-Lin.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:99516.

    Full description at Econpapers || Download paper

37. Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:101761.

    Full description at Econpapers || Download paper

38. Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach. (2017). Tsukuda, Yoshihiko ; Miyakoshi, Tatsuyoshi ; Shimada, Junji.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:51:y:2017:i:c:p:193-213.

    Full description at Econpapers || Download paper

39. Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). Chang, Chia-Lin ; Tian, Jiarong.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160053.

    Full description at Econpapers || Download paper

40. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). Chang, Chia-Lin ; Liu, Chia-Ping.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160046.

    Full description at Econpapers || Download paper

41. Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). Chang, Chia-Lin ; Tian, J.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:93117.

    Full description at Econpapers || Download paper

42. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). Chang, Chia-Lin.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:93115.

    Full description at Econpapers || Download paper

43. How are VIX and Stock Index ETF Related?. (2016). Chang, Chia-Lin ; McAleer, M J.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:79913.

    Full description at Econpapers || Download paper

44. Dynamic volatility spillovers across shipping freight markets. (2016). Tsouknidis, Dimitris.
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:91:y:2016:i:c:p:90-111.

    Full description at Econpapers || Download paper

45. Comparing the financial performance of timber REITs and other REITs. (2016). Xue, Yuan ; Piao, Xiaorui ; Mei, Bin.
    In: Forest Policy and Economics.
    RePEc:eee:forpol:v:72:y:2016:i:c:p:115-121.

    Full description at Econpapers || Download paper

46. Macro-economic determinants of European stock and government bond correlations: A tale of two regions. (2016). Vermeulen, Wessel ; Perego, Erica.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:214-232.

    Full description at Econpapers || Download paper

47. Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion. (2016). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:56:y:2016:i:c:p:133-147.

    Full description at Econpapers || Download paper

48. The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

    Full description at Econpapers || Download paper

49. On the stationarity of Dynamic Conditional Correlation models. (2016). Fermanian, Jean-David ; Malongo, Hassan.
    In: Papers.
    RePEc:arx:papers:1405.6905.

    Full description at Econpapers || Download paper

50. Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). Chang, Chia-Lin.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150077.

    Full description at Econpapers || Download paper

51. The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets. (2015). Panagiotidis, Theodore ; Karfakis, Costas.
    In: Empirica.
    RePEc:kap:empiri:v:42:y:2015:i:4:p:795-811.

    Full description at Econpapers || Download paper

52. Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). Li, Yong ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:78349.

    Full description at Econpapers || Download paper

53. Forecasting Value-at-Risk using block structure multivariate stochastic volatility models. (2015). Caporin, Massimiliano ; Asai, Manabu ; McAleer, Michael.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:40-50.

    Full description at Econpapers || Download paper

54. ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails. (2015). Polak, Pawe ; Paolella, Marc S.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:282-297.

    Full description at Econpapers || Download paper

55. An Empirical Study of the Dynamic Correlation of Japanese Stock Returns.. (2015). Isogai, Takashi.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:wp15e07.

    Full description at Econpapers || Download paper

56. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). Hafner, Christian ; McAleer, and Michael .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140087.

    Full description at Econpapers || Download paper

57. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay. (2014). McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140025.

    Full description at Econpapers || Download paper

58. A Tourism Conditions Index. (2014). Chang, Chia-Lin ; McAleer, Michael ; Hsu, Hui-Kuang.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140007.

    Full description at Econpapers || Download paper

59. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay. (2014). .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:50642.

    Full description at Econpapers || Download paper

60. A Tourism Conditions Index. (2014). Hsu, Hui-Kuang ; Chang, Chia-Lin ; Hsu, H-K., ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:50640.

    Full description at Econpapers || Download paper

61. Hedging crude oil using refined product: A regime switching asymmetric DCC approach. (2014). Yang, Li ; Wang, Yudong ; Pan, Zhiyuan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:46:y:2014:i:c:p:472-484.

    Full description at Econpapers || Download paper

62. Dynamic Asset Correlations Based on Vines. (2014). Fermanian, Jean-David ; Poignard, Benjamin.
    In: Working Papers.
    RePEc:crs:wpaper:2014-46.

    Full description at Econpapers || Download paper

63. Stock return comovements and integration within the Latin American integrated market. (2014). Castro Iragorri, Carlos ; Marin, Nini Johana.
    In: Documentos de Trabajo.
    RePEc:col:000092:011082.

    Full description at Econpapers || Download paper

64. Stock return comovements and integration within the Latin American integrated market. (2014). Castro Iragorri, Carlos ; Marin, Nini Johana.
    In: Borradores de Investigación.
    RePEc:col:000091:011041.

    Full description at Econpapers || Download paper

65. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). Hafner, Christian.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/19.

    Full description at Econpapers || Download paper

66. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay. (2014). .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/09.

    Full description at Econpapers || Download paper

67. A Tourism Conditions Index. (2014). Hsu, Hui-Kuang ; Chang, Chia-Lin ; McAleer, Michael.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/03.

    Full description at Econpapers || Download paper

68. On the Stationarity of Dynamic Conditional Correlation Models. (2013). Fermanian, Jean-David ; Malongo, Hassan.
    In: Working Papers.
    RePEc:crs:wpaper:2013-26.

    Full description at Econpapers || Download paper

1. Aielli, G.P. (2013), Dynamic conditional correlations: On properties and estimation, to appear in Journal of Business and Economic Statistics, available at SSRN: http://ssrn.com/abstract =1507743.
   Paper not yet in RePEc: Add citation now
   
2. Baba, Y., Engle, R.F., Kraft, D., and Kroner, K.F. (1985), Multivariate simultaneous generalized ARCH, Unpublished manuscript, Department of Economics, University of California, San Diego.
   Paper not yet in RePEc: Add citation now
   

3. Bauwens, L., Laurent, S., and Rombouts, J.V.K., 2006, Multivariate GARCH models: A survey, Journal of Applied Econometrics, 21, 79-109.

4. Billio, M., Caporin, M. and Gobbo, M., 2006, Flexible dynamic conditional correlation multivariate GARCH for asset allocation, Applied Financial Economics Letters, 2, 123-130.
   Paper not yet in RePEc: Add citation now
   

5. Bollerslev, T. (1986), Generalised autoregressive conditional heteroscedasticity, Journal of Econometrics, 31, 307-327.

6. Caporin, M., and McAleer M. (2012), Do we really need both BEKK and DCC? A tale of two multivariate GARCH models, Journal of Economic Surveys, 26(4), 736-751.

7. Caporin, M., and McAleer, M. (2008), Scalar BEKK and indirect DCC, Journal of Forecasting, 27, 537-549.

8. Cappiello L., Engle, R.F. and Sheppard, K. (2006) Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4, 537–572.

9. Chang, C.-L., McAleer, M., and Tansuchat, R. (2011), Crude oil hedging strategies using dynamic multivariate GARCH, Energy Economics, 33(5), 912-923.

10. Colacito, R., Engle, R.F., and Ghysels, E. (2011), A component model for dynamic correlations. Journal of Econometrics, 164, 45-59.

11. Engle, R. (2002), Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business and Economic Statistics, 20(3), 339-350.

12. Engle, R.F. (1982), Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007.

13. Engle, R.F., and Kroner, K.F. (1995), Multivariate simultaneous generalized ARCH, Econometric Theory, 11(1), 122-150.

14. Engle, R.F., Shephard, N., and Sheppard, K., 2008, Fitting vast dimensional time-varying covariance models, Oxford Financial Research Centre, Financial Economics Working Paper 30.

15. Franses, P.H., and Hafner, C.M., 2009, A generalized dynamic conditional correlation model: Simulation and application to many assets, Econometric Reviews, 28, 612-631.

16. Hammoudeh, S., Liu, T., Chang, C.-L., and McAleer, M. (2013), Risk spillovers in oil-related CDS, stock and credit markets, Energy Economics, 36(1), 526-535.

17. Kasch, M. and Caporin. M. (2013), Volatility threshold dynamic conditional correlations: An international analysis, to appear in Journal of Financial Econometrics.

18. Lanza, A., McAleer, M., and Manera, M. (2006), Modeling dynamic conditional correlations in WTO oil forward and futures returns, Finance Research Letters, 3(2), 114-132.

19. McAleer, M. (2005), Automated inference and learning in modeling financial volatility, Econometric Theory, 21, 232-261.

20. McAleer, M., Chan, F., Hoti, S. and Lieberman, O. (2008), Generalized autoregressive conditional correlation, Econometric Theory, 24(6), 1554-1583.

21. RiskmetricsTM (1996), J.P. Morgan Technical Document, 4th Edition, New York, J.P. Morgan.
    Paper not yet in RePEc: Add citation now
    

22. Silvennoinen, A., and Terasvirta, T. (2009). Multivariate GARCH models, in T.G. Andersen, R.A. Davis, J.P. Kreiss, and T. Mikosch (eds.), Handbook of Financial Time Series, Springer.

23. Tse, Y.K., and Tsui, A.K.C., 2002, A multivariate GARCH model with time-varying correlations, Journal of Business and Economic Statistics, 20, 351-362.
    Paper not yet in RePEc: Add citation now
    

1. The impact of artificial intelligence on carbon market in China: Evidence from quantile-on-quantile regression approach. (2025). Zhao, Xiangyu ; Hu, Yanhui ; Jiang, Wei.
   In: Technological Forecasting and Social Change.
   RePEc:eee:tefoso:v:212:y:2025:i:c:s0040162525000046.

   Full description at Econpapers || Download paper

2. Proxy-identification of a structural MGARCH model for asset returns. (2024). Polivka, Jeannine ; Fengler, Matthias.
   In: Economics Working Paper Series.
   RePEc:usg:econwp:2021:03.

   Full description at Econpapers || Download paper

3. Spillover across sovereign bond markets between the US and ASEAN4 economies. (2021). Tsang, Andrew ; Yiu, Matthew S ; Nguyen, Huy Toan.
   In: Journal of Asian Economics.
   RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000725.

   Full description at Econpapers || Download paper

4. A Dynamic Conditional Approach to Portfolio Weights Forecasting. (2020). Gallo, Giampiero ; Cipollini, Fabrizio ; Palandri, Alessandro.
   In: Econometrics Working Papers Archive.
   RePEc:fir:econom:wp2020_06.

   Full description at Econpapers || Download paper

5. On the Dynamic Linkages Among International Emerging Currencies. (2018). Mighri, Zouheir.
   In: Journal of Quantitative Economics.
   RePEc:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0088-1.

   Full description at Econpapers || Download paper

6. Investors’ Uncertainty and Stock Market Risk. (2018). Escobari, Diego ; Jafarinejad, Mohammad.
   In: MPRA Paper.
   RePEc:pra:mprapa:86975.

   Full description at Econpapers || Download paper

7. A Class of Generalized Dynamic Correlation Models. (2018). He, Zhongfang.
   In: MPRA Paper.
   RePEc:pra:mprapa:84820.

   Full description at Econpapers || Download paper

8. Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge.
   In: MPRA Paper.
   RePEc:pra:mprapa:83988.

   Full description at Econpapers || Download paper

9. Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo.
   In: NIPE Working Papers.
   RePEc:nip:nipewp:07/2018.

   Full description at Econpapers || Download paper

10. Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2018). MORANA, CLAUDIO ; Claudio, Morana.
    In: Working Papers.
    RePEc:mib:wpaper:382.

    Full description at Econpapers || Download paper

11. Modeling financial market volatility in transition markets: a multivariate case. (2018). Oikonomikou, Leoni Eleni.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:45:y:2018:i:c:p:307-322.

    Full description at Econpapers || Download paper

12. The zero lower bound and market spillovers: Evidence from the G7 and Norway. (2018). Serletis, Apostolos ; Kyritsis, Evangelos.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:44:y:2018:i:c:p:100-123.

    Full description at Econpapers || Download paper

13. Long-term stock market volatility and the influence of terrorist attacks in Europe. (2018). Gurdgiev, Constantin ; Corbet, Shaen ; Meegan, Andrew.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:68:y:2018:i:c:p:118-131.

    Full description at Econpapers || Download paper

14. Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index. (2018). Tsopanakis, Andreas ; Sogiakas, Vasilios ; MacDonald, Ronald.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:52:y:2018:i:c:p:17-36.

    Full description at Econpapers || Download paper

15. Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:56:y:2018:i:c:p:208-220.

    Full description at Econpapers || Download paper

16. A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Aun, Syed ; Arshad, Shaista.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

    Full description at Econpapers || Download paper

17. Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

    Full description at Econpapers || Download paper

18. Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sadorsky, Perry ; Sharma, Amit.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

    Full description at Econpapers || Download paper

19. Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2018/6.

    Full description at Econpapers || Download paper

20. Asset price volatility in EU-6 economies: how large is the role played by the ECB?. (2018). Colabella, Andrea ; Ciarlone, Alessio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1175_18.

    Full description at Econpapers || Download paper

21. When panic makes you blind: a chaotic route to systemic risk. (2018). Marmi, Stefano ; Mazzarisi, Piero ; Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:1805.00785.

    Full description at Econpapers || Download paper

22. New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang.
    In: Papers.
    RePEc:arx:papers:1804.09866.

    Full description at Econpapers || Download paper

23. Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-14.

    Full description at Econpapers || Download paper

24. The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). Li, W K ; Ng, F C.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:35:y:2017:i:4:p:513-527.

    Full description at Econpapers || Download paper

25. Testing the Dynamic Linkages of the Pakistani Stock Market with Regional and Global Markets. (2017). Iqbal, Javed ; Aziz, Zohaib.
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:22:y:2017:i:2:p:89-116.

    Full description at Econpapers || Download paper

26. The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway. (2017). Serletis, Apostolos ; Kyritsis, Evangelos.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2017_007.

    Full description at Econpapers || Download paper

27. Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

    Full description at Econpapers || Download paper

28. Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Song, Yan ; Qiu, Shuqi ; Xiao, Ran ; Zhang, Heng-Guo ; Su, Fei.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

    Full description at Econpapers || Download paper

29. Generalized Method of Moment estimation of multivariate multifractal models. (2017). Lux, Thomas ; Liu, Rui Peng.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

    Full description at Econpapers || Download paper

30. How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). Ulusoy, Veysel ; demiralay, sercan.
    In: Manchester School.
    RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

    Full description at Econpapers || Download paper

31. Functional Generalized Autoregressive Conditional Heteroskedasticity. (2017). Horvath, Lajos ; Pellatt, Daniel F ; Aue, Alexander.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:38:y:2017:i:1:p:3-21.

    Full description at Econpapers || Download paper

32. A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo.
    In: Journal of the Royal Statistical Society Series C.
    RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

    Full description at Econpapers || Download paper

33. Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao.
    In: Australian Economic Papers.
    RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

    Full description at Econpapers || Download paper

34. Interconnectedness in the Global Financial Market. (2016). Raddant, Matthias ; Kenett, Dror Y.
    In: Working Papers.
    RePEc:ofr:wpaper:16-09.

    Full description at Econpapers || Download paper

35. Modelling multivariate volatilities via latent common factors. (2016). Li, Weiming ; Yao, Qiwei ; Gao, Jing.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:68121.

    Full description at Econpapers || Download paper

36. Estimating multivariate volatility models equation by equation. (2016). Zakoian, Jean-Michel ; Francq, Christian.
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:78:y:2016:i:3:p:613-635.

    Full description at Econpapers || Download paper

37. Market interdependence and volatility transmission among major crops. (2016). Robles, Luis ; Hernandez, Manuel ; Gardebroek, Cornelis.
    In: Agricultural Economics.
    RePEc:bla:agecon:v:47:y:2016:i:2:p:141-155.

    Full description at Econpapers || Download paper

38. VOLATILITY IN COPPER PRICES IN INDIA. (2015). Nair, Girish ; Choudhary, Nidhi ; Purohit, Harsh.
    In: Annals of Financial Economics (AFE).
    RePEc:wsi:afexxx:v:10:y:2015:i:02:n:s2010495215500086.

    Full description at Econpapers || Download paper

39. Are Flexible Exchange Rate Regimes more Volatile? Panel GARCH Evidence for the G7 and Latin America. (2015). Sanin Vázquez, María Eugenia ; Cermeo, Rodolfo.
    In: Review of Development Economics.
    RePEc:bla:rdevec:v:19:y:2015:i:2:p:297-308.

    Full description at Econpapers || Download paper

40. BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY. (2015). Virbickaite, Audrone ; Galeano, Pedro ; Ausin, Concepcion M.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:29:y:2015:i:1:p:76-96.

    Full description at Econpapers || Download paper

41. Modeling international stock market contagion using multivariate fractionally integrated APARCH approach. (2014). Mighri, Zouheir ; Mansouri, Faysal.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:doi:10.1080/23322039.2014.963632.

    Full description at Econpapers || Download paper

42. Principal Volatility Component Analysis. (2014). Hu, Yu-Pin ; Tsay, Ruey S..
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:32:y:2014:i:2:p:153-164.

    Full description at Econpapers || Download paper

43. Transmission de la volatilité entre le marché du pétrole et les marchés financiers des pays producteurs.. (2013). LAJILI, Oualid.
    In: MPRA Paper.
    RePEc:pra:mprapa:86624.

    Full description at Econpapers || Download paper

44. Oil Price Shocks and Volatility in Australian Stock Returns. (2013). Ratti, Ronald ; Hasan, Zahid M..
    In: The Economic Record.
    RePEc:bla:ecorec:v:89:y:2013:i::p:67-83.

    Full description at Econpapers || Download paper

45. Influence diagnostics for multivariate GARCH processes. (2010). Zhang, Xibin ; Qu, Nan ; Dark, Jonathan.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:31:y:2010:i:4:p:278-291.

    Full description at Econpapers || Download paper

46. FINANCIAL CRISES AND INTERNATIONAL STOCK MARKET VOLATILITY TRANSMISSION. (2010). Valadkhani, Abbas ; O'Brien, Martin ; Karunanayake, Indika.
    In: Australian Economic Papers.
    RePEc:bla:ausecp:v:49:y:2010:i:3:p:209-221.

    Full description at Econpapers || Download paper

47. The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices. (2009). Butler, Kirt ; Okada, Katsushi .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:1:p:1-15.

    Full description at Econpapers || Download paper

48. TWIN SONS OF DIFFERENT MOTHERS: THE LONG AND THE SHORT OF THE TWIN DEFICITS DEBATE. (2009). Ye, Haichun ; Grier, Kevin.
    In: Economic Inquiry.
    RePEc:bla:ecinqu:v:47:y:2009:i:4:p:625-638.

    Full description at Econpapers || Download paper

49. Modelling multivariate volatilities via conditionally uncorrelated components. (2008). Fan, Jianqing ; Yao, Qiwei ; Wang, Mingjin.
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:70:y:2008:i:4:p:679-702.

    Full description at Econpapers || Download paper

50. Thin-Trading Effects in Beta: Bias v. Estimation Error. (2008). Vinaimont, Tom ; Sercu, Piet ; Vandebroek, Martina.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:35:y:2008-11:i:9-10:p:1196-1219.

    Full description at Econpapers || Download paper

Report date: 2025-09-30 16:01:01 || Missing content? Let us know