Admati, A.R. ; Pfleiderer, P. A theory of intraday patterns: volume and price variability. 1988 Rev. Financ. Stud.. 1 3-40
Andrews, D.W. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. 1991 Econometrica. 59 817-858
Antoine, B. ; Renault, E. Efficient minimum distance estimation with multiple rates of convergence. 2012 J. Econom.. 170 350-367
Baele, L. Volatility spillover effects in European equity markets. 2005 J. Financ. Quant. Anal.. 40 373-401
Barunik, J. ; Krehlik, T. ; Vacha, L. Modeling and forecasting exchange rate volatility in time-frequency domain. 2016 Eur. J. Oper. Res.. 251 329-340
Bauer, D. ; Maynard, A. Persistence-robust surplus-lag Granger causality testing. 2012 J. Econom.. 169 293-300
Bekiros, S. ; Nguyen, D.K. ; Junior, L.S. ; Uddin, G.S. Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets. 2017 Eur. J. Oper. Res.. 256 945-961
Bollerslev, T. Generalized autoregressive conditional heteroskedasticity. 1986 J. Econom.. 31 307-327
Bollerslev, T. Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. 1990 Rev. Econ. Stat.. 72 498-505
- Boudjellaba, H. ; Dufour, J.-M. ; Roy, R. Testing causality between two vectors in multivariate autoregressive moving average models. 1992 J. Am. Stat. Assoc.. 87 1082-1090
Paper not yet in RePEc: Add citation now
- Boudt, K. ; Ghalanos, A. ; Payseur, S. ; Zivot, E. Multivariate GARCH models for large-scale applications: a survey. 2019 En : Vinod, H.D. ; Rao, C. Handbook of Statistics. Elsevier Science BV: Amsterdam
Paper not yet in RePEc: Add citation now
Bouhaddioui, C. ; Roy, R. A generalized portmanteau test for independence of two infinite-order vector autoregressive series. 2006 J. Time Ser. Anal.. 27 505-544
Breinlich, H. ; Leromain, E. ; Novy, D. ; Sampson, T. The Brexit vote, inflation and UK living standards. 2022 Int. Econ. Rev.. 63 63-93
Candelon, B. ; Tokpavi, S. A nonparametric test for Granger causality in distribution with application to financial contagion. 2016 J. Bus. Econ. Stat.. 34 240-253
Chan, N.H. ; Deng, S.-J. ; Peng, L. ; Xia, Z. Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations. 2007 J. Econom.. 137 556-576
Chen, B. ; Hong, Y. Detecting for smooth structural changes in GARCH models. 2016 Econ. Theory. 32 740-791
Chen, B. ; Hong, Y. Testing for smooth structural changes in time series models via nonparametric regression. 2012 Econometrica. 80 1157-1183
Chen, B. ; Hong, Y. Testing for the Markov property in time series. 2012 Econ. Theory. 28 130-178
Comte, F. ; Lieberman, O. Second-order noncausality in multivariate GARCH processes. 2000 J. Time Ser. Anal.. 21 535-557
- Cumming, D.J. ; Zahra, S.A. International business and entrepreneurship implications of Brexit. 2016 Br. J. Manag.. 27 687-692
Paper not yet in RePEc: Add citation now
Duchesne, P. ; Roy, R. On consistent testing for serial correlation of unknown form in vector time series models. 2004 J. Multivar. Anal.. 89 148-180
- Dufour, J.-M. ; Pelletier, D. Practical methods for modeling weak VARMA processes: identification, estimation and specification with a macroeconomic application. 2021 J. Bus. Econ. Stat.. 40 1-13
Paper not yet in RePEc: Add citation now
Ellington, M. Fat tails, serial dependence, and implied volatility index connections. 2022 Eur. J. Oper. Res.. 299 768-779
Engle, R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. 1982 Econometrica. 50 987-1007
- Engle, R.F. ; Bollerslev, T. Modelling the persistence of conditional variances. 1986 Econom. Rev.. 5 1-50
Paper not yet in RePEc: Add citation now
Engle, R.F. ; Sheppard, K. Theoretical and Empirical Properties of Dynamic Conditional correlation Multivariate GARCH. 2001 National Bureau of Economic Research:
Fianu, E.S. ; Ahelegbey, D.F. ; Grossi, L. Modeling risk contagion in the Italian zonal electricity market. 2022 Eur. J. Oper. Res.. 298 656-679
Gao, F. ; Song, F. Estimation risk in GARCH VaR and ES estimates. 2008 Econ. Theory. 24 1404-1424
Garbade, K.D. ; Silber, W.L. Structural organization of secondary markets: clearing frequency, dealer activity and liquidity risk. 1979 J. Finance. 34 577-593
- Granger, C.W.J. Investigating causal relations by econometric models and cross-spectral methods. 1969 Econometrica. 37 424-438
Paper not yet in RePEc: Add citation now
- Granger, C.W.J. Testing for causality: a personal viewpoint. 1980 J. Econ. Dyn. Control. 2 329-352
Paper not yet in RePEc: Add citation now
- Granger, C.W.J. ; Robins, R. ; Engle, R.F. Wholesale and retail prices: bivariate time-series modeling with forecastable error variances. 1986 En : Belsley, D.A. ; Kuh, E. Model Reliability. MIT Press: Cambridge, MA
Paper not yet in RePEc: Add citation now
Hafner, C.M. Temporal aggregation of multivariate GARCH processes. 2008 J. Econom.. 142 467-483
- Hamre, E. F., Wright, W., 2021. Brexit & The City: The Impact So Far. New Financial https://newfinancial.org/brexit-the-city-the-impact-so-far/.
Paper not yet in RePEc: Add citation now
- Hannan, E.J. Multiple Time Series. 1970 John Wiley and Sons: New York
Paper not yet in RePEc: Add citation now
- Harville, D.A. Matrix Algebra From a Statistician’s Perspective. 1997 Springer: New York
Paper not yet in RePEc: Add citation now
Hong, Y. A test for volatility spillover with application to exchange rates. 2001 J. Econom.. 103 183-224
Hong, Y. Testing for independence between two covariance stationary time series. 1996 Biometrika. 83 615-625
Hong, Y. ; Liu, Y. ; Wang, S. Granger causality in risk and detection of extreme risk spillover between financial markets. 2009 J. Econom.. 150 271-287
King, M.A. ; Wadhwani, S. Transmission of volatility between stock markets. 1990 Rev. Financ. Stud.. 3 5-33
Lewis, R. ; Reinsel, G.C. Prediction of multivariate time series by autoregressive model fitting. 1985 J. Multivar. Anal.. 16 393-411
Li, W.K. ; Mak, T. On the squared residual autocorrelations in non-linear time series with conditional heteroskedasticity. 1994 J. Time Ser. Anal.. 15 627-636
McCloud, N. ; Hong, Y. Testing the structure of conditional correlations in multivariate GARCH models: a generalized cross-spectrum approach. 2011 Int. Econ. Rev.. 52 991-1037
Newey, W.K. ; Steigerwald, D.G. Asymptotic bias for quasi-maximum-likelihood estimators in conditional heteroskedasticity models. 1997 Econometrica. 65 587-599
- Priestley, M.B. Spectral Analysis and Time Series: Probability and Mathematical Statistics. 1981 Academic Press:
Paper not yet in RePEc: Add citation now
Robbins, M.W. ; Fisher, T.J. Cross-correlation matrices for tests of independence and causality between two multivariate time series. 2015 J. Bus. Econ. Stat.. 33 459-473
Ross, S.A. Information and volatility: the no-arbitrage martingale approach to timing and resolution irrelevancy. 1989 J. Finance. 44 1-17
Sévi, B. Forecasting the volatility of crude oil futures using intraday data. 2014 Eur. J. Oper. Res.. 235 643-659
Stoll, H.R. ; Whaley, R.E. Stock market structure and volatility. 1990 Rev. Financ. Stud.. 3 37-71
- van der Vaart, A.W. Asymptotic Statistics. 1998 Cambridge University Press:
Paper not yet in RePEc: Add citation now
- White, H. Asymptotic Theory for Econometricians. 2001 Academic Press:
Paper not yet in RePEc: Add citation now
- Wiener, N. ; Masani, P. The prediction theory of multivariate stochastic processes. 1957 Acta Math.. 98 111-150
Paper not yet in RePEc: Add citation now