1 |
Bauwens, L., Laurent, S. and Rombouts, J. V. K. (2006). Multivariate GARCH models: A survey, Journal of Applied Econometrics, 21, 79-109.
DOI
ScienceOn
|
2 |
Bollerslev, T. (1986). Generalized autoregressive conditional Heteroskedasticity, Journal of Econo-metrics, 31, 307-327.
DOI
ScienceOn
|
3 |
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.
DOI
ScienceOn
|
4 |
Nelson, D. B. (1991). Conditional Heteroskedasticity in asset returns: A new approach, Econometrica, 59, 347-370.
DOI
ScienceOn
|
5 |
Silvennoinen, A. and Terasvirta, T. (2009). Multivariate GARCH Models, Handbook of Financial Time Series, Springer, New York, 201-229.
|
6 |
Taylor, S. J. (1986). Modelling Financial Time Series, John Wiley & Sons, New York.
|
7 |
Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model, Review of Economics and Statistics, 72, 498-505.
DOI
ScienceOn
|
8 |
Ding, Z. C., Granger, W. J. and Engle, R. F. (1993). A long memory property of stock market returns and a new model, Journal of Empirical Finance, 1, 83-106.
DOI
ScienceOn
|
9 |
Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate GARCH models, Journal of Business and Economic Statistics, 20, 339-350.
DOI
ScienceOn
|
10 |
Engle, R. F. and Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 122-150.
DOI
ScienceOn
|
11 |
Gjika, D. and Horvath, R. (2013). Stock market comovements in central Europe: Evidence from the Asymmetric DCC Model, Economic Modelling, 33, 55-64.
DOI
ScienceOn
|
12 |
Glosten, L. R., Jagannathan, R. and Runkle, D. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance, 48, 1779-1801.
DOI
ScienceOn
|
13 |
Zakoian, J.-M. (1994). Threshold Heteroskedastic models, Journal of Economic Dynamics and Control, 18, 931-955.
DOI
ScienceOn
|
14 |
Bollerslev, T., Engle, R. F. and Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances, The Journal of Political Economy, 96, 116-131.
DOI
ScienceOn
|