1. A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; Jakobsen, Johan Stax ; Kang, Jian ; Wade, Glen.
   In: CREATES Research Papers.
   RePEc:aah:create:2022-01.

   Full description at Econpapers || Download paper

2. Testing for misspecification in the short-run component of GARCH-type models. (2018). Flachaire, Emmanuel ; Chuffart, Thomas ; Peguin-Feissolle, Anne.
   In: Post-Print.
   RePEc:hal:journl:hal-02083772.

   Full description at Econpapers || Download paper

References contributed by pfo235-2019140

1. Abadir, K. M., and J. R. Magnus (2005): Matrix Algebra. Cambridge University Press. Aielli, G. P. (2013): Dynamic Conditional Correlation: On Properties and Estimation, Journal of Business and Economic Statistics, 31, 282-299.

2. Anderson, T. W. (2003): An Introduction to Multivariate Statistical Analysis. New York: Wiley, 3 edn.
   Paper not yet in RePEc: Add citation now
   

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

4. Bera, A. K., and S. Kim (2002): Testing Constancy of Correlation and Other Specifications of the BGARCH Model with an Application to International Equity Returns, Journal of Empirical Finance, 9, 171-195.

5. Berben, R. P., and W. J. Jansen (2005): Comovement in International Equity Markets: A Sectoral View, Journal of International Money and Finance, 24, 832-857.

6. Bollerslev, T. (1987): A Conditionally Heteroskedastic Time Series Model for Security Prices and Rates of Return Data, Review of Economics and Statistics, 59, 542-547.

7. Carroll, S. M., and B. W. Dickinson (1989): Construction of Neural Nets Using the Radon Transform, Proceedings of the International Joint Conference on Neural Networks, Washington, D.C., IEEE Press I, 607-611.
   Paper not yet in RePEc: Add citation now
   

8. Castle, J. L., and D. F. Hendry (2010): A Low-Dimension Portmanteau Test for Non-Linearity, Journal of Econometrics, 150, 231-245.

9. Caulet, R., and A. Péguin-Feissolle (2000): Un test d’hétéroscédasticité conditionnelle inspiré de la modélisation en termes de réseaux neuronaux artificiels, Annales d’Économie et de Statistique, 59, 177-197.

10. Creal, D., S. J. Koopmans, and A. Lucas (2013): Generalized Autoregressive Score Models with Applications, Journal of Applied Econometrics, 28, 777-795.

11. Cybenko, G. (1989): Approximation by Superpositions of a Sigmoid Function, Mathematics of Control, Signals and Systems, 2, 303-314.
    Paper not yet in RePEc: Add citation now
    
12. Ding, Z., and R. F. Engle (2001): Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing, Academia Economic Papers, 29, 157-184.
    Paper not yet in RePEc: Add citation now
    
13. Engle, R. F. (2002): Dynamic Conditional Correlation – A Simple Class of Multivariate GARCH Models, Journal of Business and Economic Statistics, 20, 339-350.
    Paper not yet in RePEc: Add citation now
    

14. Engle, R. F., and F. Kroner (1995): Multivariate Simultaneous Generalized ARCH, Econometric Theory, 11, 122-150.

15. Harvey, A. C. (2013): Dynamic Models for Volatility and Heavy Tails. Cambridge University Press.

16. Harvey, A., and G. Sucarrat (2014): EGARCH Models with Fat Tails, Skewness and Leverage, Computational Statistics and Data Analysis, 76, 320-338.

17. Harvey, A., and S. Thiele (2014): Testing for Time Varying Correlation in a Dynamic Conditional Score Framework.
    Paper not yet in RePEc: Add citation now
    
18. Harvey, A., and T. Chakravarty (2008): Beta-t-(E)GARCH. Cambridge Working Papers in Economics, CWPE 0840.
    Paper not yet in RePEc: Add citation now
    
19. Hornik, K. (1991): Approximation Capabilities of Multilayer Feedforward Networks, Neural Networks, 4, 251-257.
    Paper not yet in RePEc: Add citation now
    
20. Hornik, K., M. Stinchcombe, and H. White (1989): Multi-Layer Feedforward Networks Are Universal Approximators, Neural Networks, 2, 359-366.
    Paper not yet in RePEc: Add citation now
    
21. Hornik, K., M. Stinchcombe, and H. White (1990): Universal Approximation of an Unknown Mapping and Its Derivatives Using Multi-Layer Feedforward Networks, Neural Networks, 3, 551-560.
    Paper not yet in RePEc: Add citation now
    

22. Jeantheau, T. (1998): Strong Consistency of Estimators for Multivariate ARCH Models, Econometric Theory, 14, 70-86.

23. Kamstra, M. (1993): A Neural Network Test for Heteroscedasticity. Working Paper, Simon Fraser University, Burnaby, Canada.
    Paper not yet in RePEc: Add citation now
    
24. Lütkepohl, H. (1996): Handbook of Matrices. Chichester: John Wiley & Sons.
    Paper not yet in RePEc: Add citation now
    

25. Lebreton, M., and A. Péguin-Feissolle (2007): Robust Tests for Heteroscedasticity in a General Framework, Annales d’Économie et de Statistique, 85, 159-187.

26. Lee, T. H., H. White, and C. W. J. Granger (1993): Testing for Neglecting Nonlinearity in Time Series Models, Journal of Econometrics, 56, 269-290.
    Paper not yet in RePEc: Add citation now
    
27. Péguin-Feissolle, A. (1999): A Comparison of the Power of Some Tests for Conditional Heteroscedasticity, Economics Letters, 63, 5-17.
    Paper not yet in RePEc: Add citation now
    

28. Péguin-Feissolle, A., and B. Sanhaji (2015): Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models. Working Paper AMSE, WP 2015 Nr 16, Aix-Marseille University, France.

29. Péguin-Feissolle, A., and T. Teräsvirta (1999): A General Framework for Testing the Granger Noncausality Hypothesis. SSE/EFI Working Paper Series in Economics and Finance No. 343, Stockholm School of Economics.

30. Péguin-Feissolle, A., B. Strikholm, and T. Teräsvirta (2013): Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form, Communications in Statistics – Simulation and Computation, 42, 1063-1087.

31. Silvennoinen, A., and T. Teräsvirta (2005): Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. SSE/EFI Working Paper Series in Economics and Finance No. 577, Stockholm School of Economics, Sweden.

32. Silvennoinen, A., and T. Teräsvirta (2009a): Multivariate GARCH Models. In Handbook of Financial Time Series, Ed. by T. G. Andersen, R. A. Davis, J.-P. Kreiss, and T. Mikosch. New York: Springer, 201-229.
    Paper not yet in RePEc: Add citation now
    
33. Silvennoinen, A., and T. Teräsvirta (2009b): Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model, Journal of Financial Econometrics, 7, 373-411.
    Paper not yet in RePEc: Add citation now
    

34. Silvennoinen, A., and T. Teräsvirta (2015): Modelling Conditional Correlations of Asset Returns: A Smooth Transition Approach, Econometric Reviews, 34, 174-197.

35. Stinchcombe, M., and H. White (1989): Universal Approximation Using Feedforward Networks with Non-sigmoid Hidden Layer Activation Functions. In Proceedings of the international joint conference on neural networks, Washington, D.C., IEEE Press, I, 613-618.
    Paper not yet in RePEc: Add citation now
    

36. Teräsvirta, T., C. F. Lin, and C. W. J. Granger (1993): Power of the Neural Network Linearity Test, Journal of Time Series Analysis, 14, 209-220.

37. Tse, Y. K. (2000): A Test for Constant Correlations in a Multivariate GARCH Model, Journal of Econometrics, 98, 107-127.

1. Financial cycles synchronisation in South Africa. A dynamic conditional correlation (DCC) Approach. (2024). Magubane, Khwazi.
   In: Cogent Economics & Finance.
   RePEc:taf:oaefxx:v:12:y:2024:i:1:p:2321069.

   Full description at Econpapers || Download paper

2. Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model. (2019). Civcir, İrfan ; Akkoc, Ugur.
   In: Resources Policy.
   RePEc:eee:jrpoli:v:62:y:2019:i:c:p:231-239.

   Full description at Econpapers || Download paper

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

   Full description at Econpapers || Download paper

4. 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

5. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?. (2016). Chang, Chia-Lin ; Caporin, Massimiliano.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20160006.

   Full description at Econpapers || Download paper

6. Volatility Dependent Dynamic Equicorrelation. (2016). Silvennoinen, Annastiina ; Clements, Adam ; Scott, Ayesha.
   In: NCER Working Paper Series.
   RePEc:qut:auncer:2016_02.

   Full description at Econpapers || Download paper

7. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). Chang, Chia-Lin ; Caporin, Massimiliano.
   In: Econometric Institute Research Papers.
   RePEc:ems:eureir:79731.

   Full description at Econpapers || Download paper

8. A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds. (2016). Wang, Zihe ; Li, Johnny Siu-Hang.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:16:y:2016:i:c:p:103-111.

   Full description at Econpapers || Download paper

9. Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets. (2016). Kanamura, Takashi.
   In: Energy Economics.
   RePEc:eee:eneeco:v:54:y:2016:i:c:p:204-212.

   Full description at Econpapers || Download paper

10. Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

    Full description at Econpapers || Download paper

11. Do oil producing countries offer international diversification benefits? Evidence from GCC countries. (2016). Charfeddine, Lanouar ; Mimouni, Karim.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:263-280.

    Full description at Econpapers || Download paper

12. 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

13. Estimation and empirical performance of non-scalar dynamic conditional correlation models. (2016). Bauwens, Luc ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:17-36.

    Full description at Econpapers || Download paper

14. 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

15. European economic and monetary union sovereign debt markets. (2015). Sensoy, Ahmet ; Rostom, Ahmed ; Hacihasanoglu, Erk ; Åžensoy, Ahmet.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:7149.

    Full description at Econpapers || Download paper

16. 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

17. Assessing the link between price and financial stability. (2015). Creel, Jerome ; Saraceno, Francesco ; Labondance, Fabien.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/114p6m6s0395gqm0es4g7kgv3u.

    Full description at Econpapers || Download paper

18. Joint inference on market and estimation risks in dynamic portfolios. (2015). Zakoian, Jean-Michel ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:68100.

    Full description at Econpapers || Download paper

19. Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns. (2015). Sucarrat, Genaro ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:67140.

    Full description at Econpapers || Download paper

20. Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. (2015). Peresetsky, Anatoly ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo.
    In: MPRA Paper.
    RePEc:pra:mprapa:64503.

    Full description at Econpapers || Download paper

21. Dynamic Principal Components: a New Class of Multivariate GARCH Models. (2015). Caporin, Massimiliano ; Aielli, Gian Piero.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0194.

    Full description at Econpapers || Download paper

22. Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix). (2015). Sanhaji, Bilel ; PEGUIN-FEISSOLLE, Anne.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01133751.

    Full description at Econpapers || Download paper

23. Risk Measure Inference. (2015). Smeekes, Stephan ; Quaedvlieg, Rogier ; Laurent, Sébastien ; Hurlin, Christophe.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00877279.

    Full description at Econpapers || Download paper

24. 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

25. Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis. (2015). Maghyereh, Aktham ; Awartani, Basel ; Al Hilu, Khalil .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:56:y:2015:i:c:p:123-138.

    Full description at Econpapers || Download paper

26. Cross-sectoral interactions in Islamic equity markets. (2015). Yılmaz, Mustafa ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Åžensoy, Ahmet ; Yilmaz, Mustafa K. ; Ozturk, Kevser.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:32:y:2015:i:c:p:1-20.

    Full description at Econpapers || Download paper

27. Dynamic convergence of commodity futures: Not all types of commodities are alike. (2015). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Hacihasanoglu, Erk ; Åžensoy, Ahmet.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:44:y:2015:i:c:p:150-160.

    Full description at Econpapers || Download paper

28. Bootstrap multi-step forecasts of non-Gaussian VAR models. (2015). Ruiz, Esther ; Pascual, Lorenzo ; Fresoli, Diego.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:834-848.

    Full description at Econpapers || Download paper

29. Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market. (2015). pragidis, ioannis ; Chionis, Dionysios ; Schizas, P. ; Aielli, G. P..
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:18:y:2015:i:c:p:127-138.

    Full description at Econpapers || Download paper

30. Assessing the link between price and financial stability. (2015). Saraceno, Francesco ; Labondance, Fabien ; Hubert, Paul ; Creel, Jerome ; Blot, Christophe.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:16:y:2015:i:c:p:71-88.

    Full description at Econpapers || Download paper

31. MGARCH models: tradeoff between feasibility and flexibility. (2015). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws1516.

    Full description at Econpapers || Download paper

32. Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix). (2015). Sanhaji, Bilel ; PEGUIN-FEISSOLLE, Anne.
    In: AMSE Working Papers.
    RePEc:aim:wpaimx:1516.

    Full description at Econpapers || Download paper

33. How smooth is the stock market integration of CEE-3?. (2014). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2014-1079.

    Full description at Econpapers || Download paper

34. 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

35. Dynamic spanning trees in stock market networks: The case of Asia-Pacific. (2014). Tabak, Benjamin ; Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:414:y:2014:i:c:p:387-402.

    Full description at Econpapers || Download paper

36. Emerging markets in the global economic network: Real(ly) decoupling?. (2014). Trancoso, Tiago.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:395:y:2014:i:c:p:499-510.

    Full description at Econpapers || Download paper

37. A comparative analysis of the dynamic relationship between oil prices and exchange rates. (2014). Turhan, Ibrahim ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Åžensoy, Ahmet.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:32:y:2014:i:c:p:397-414.

    Full description at Econpapers || Download paper

38. Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey. (2014). Sobaci, Cihat ; Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:43:y:2014:i:c:p:448-457.

    Full description at Econpapers || Download paper

39. Dynamic relationship between Turkey and European countries during the global financial crisis. (2014). Soytas, Ugur ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Åžensoy, Ahmet ; Yildirim, Irem.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:290-298.

    Full description at Econpapers || Download paper

40. Modeling conditional covariance for mixed-asset portfolios. (2014). Zhou, Jian.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:242-249.

    Full description at Econpapers || Download paper

41. Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations. (2014). Galeano, Pedro ; Wiper, Michael P. ; de la Fuente, Cristina Garcia .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws141711.

    Full description at Econpapers || Download paper

42. The uncertainty of conditional returns, volatilities and correlations in DCC models. (2014). Ruiz, Esther ; Fresoli, Diego.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws140202.

    Full description at Econpapers || Download paper

43. 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

44. Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-05.

    Full description at Econpapers || Download paper

45. Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models. (2013). Lucas, Andre ; Blasques, Francisco ; Silde, Erkki.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130097.

    Full description at Econpapers || Download paper

46. Ten Things you should know about the Dynamic Conditional Correlation Representation. (2013). Caporin, Massimiliano ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130078.

    Full description at Econpapers || Download paper

47. Ten Things you should know about DCC. (2013). Caporin, Massimiliano ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130048.

    Full description at Econpapers || Download paper

48. Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises. (2013). Jimenez-Martin, Juan ; Caporin, Massimiliano ; Gonzalez-Serrano, Lydia.
    In: MPRA Paper.
    RePEc:pra:mprapa:50940.

    Full description at Econpapers || Download paper

49. Dynamic relationship between precious metals. (2013). Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:38:y:2013:i:4:p:504-511.

    Full description at Econpapers || Download paper

50. 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

Report date: 2025-09-26 13:16:14 || Missing content? Let us know