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Multivariate GARCH models: a survey

Journal of applied econometrics (Chichester, England), 2006-01, Vol.21 (1), p.79-109

2006

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On the forecasting accuracy of multivariate GARCH models

Journal of applied econometrics (Chichester, England), 2012-09, Vol.27 (6), p.934-955

2012

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On loss functions and ranking forecasting performances of multivariate volatility models

Journal of econometrics, 2013-03, Vol.173 (1), p.1-10

2013

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The Contribution of Structural Break Models to Forecasting Macroeconomic Series

Journal of applied econometrics (Chichester, England), 2015-06, Vol.30 (4), p.596-620

2015

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Dynamics of variance risk premia: A new model for disentangling the price of risk

Journal of econometrics, 2020-08, Vol.217 (2), p.312-334

2020

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Marginal likelihood for Markov-switching and change-point GARCH models

Journal of econometrics, 2014-01, Vol.178 (3), p.508-522

2014

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Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality

Journal of business & economic statistics, 2012-04, Vol.30 (2), p.275-287

2012

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Theory and inference for a Markov switching GARCH model

The econometrics journal, 2010-01, Vol.13 (2), p.218-244

2010

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Multivariate option pricing with time varying volatility and correlations

Journal of banking & finance, 2011-09, Vol.35 (9), p.2267-2281

2011

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Relevant parameter changes in structural break models

Journal of econometrics, 2020-07, Vol.217 (1), p.46-78

2020

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Option pricing with asymmetric heteroskedastic normal mixture models

International journal of forecasting, 2015-07, Vol.31 (3), p.635-650

2015

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Nonlinear financial econometrics JoE special issue introduction

Journal of econometrics, 2020-08, Vol.217 (2), p.203-206

2020

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Sparse change‐point VAR models

Journal of applied econometrics (Chichester, England), 2021-09, Vol.36 (6), p.703-727

2021

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Pricing individual stock options using both stock and market index information

Journal of banking & finance, 2020-02, Vol.111, p.105727, Article 105727

2020

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Nonparametric density estimation for positive time series

Computational statistics & data analysis, 2010-02, Vol.54 (2), p.245-261

2010

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Mixed Exponential Power Asymmetric Conditional Heteroskedasticity

Studies in Nonlinear Dynamics & Econometrics, 2009-05, Vol.13 (3), p.3

2009

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Sparse Change-point HAR Models for Realized Variance

Econometric reviews, 2019-09, Vol.38 (8), p.857-880

2019

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Nonparametric density estimation for multivariate bounded data

Journal of statistical planning and inference, 2010, Vol.140 (1), p.139-152

2010

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Evaluating portfolio Value-at-Risk using semi-parametric GARCH models

Quantitative finance, 2009-09, Vol.9 (6), p.737-745

2009

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Bayesian option pricing using mixed normal heteroskedasticity models

Computational statistics & data analysis, 2014-08, Vol.76, p.588-605

2014

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Asymptotic properties of the Bernstein density copula estimator for α -mixing data

Journal of multivariate analysis, 2010, Vol.101 (1), p.1-10

2010

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On marginal likelihood computation in change-point models

Computational statistics & data analysis, 2012-11, Vol.56 (11), p.3415-3429

2012

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Clustered panel data models: an efficient approach for nowcasting from poor data

International journal of forecasting, 2005-07, Vol.21 (3), p.577-594

2005

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SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS

Econometric theory, 2007-04, Vol.23 (2), p.251-280

2007

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Bayesian Clustering of Many Garch Models

Econometric reviews, 2007-01, Vol.26 (2-4), p.365-386

2007

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Multivariate GARCH models: a survey

On the forecasting accuracy of multivariate GARCH models

On loss functions and ranking forecasting performances of multivariate volatility models

The Contribution of Structural Break Models to Forecasting Macroeconomic Series

Dynamics of variance risk premia: A new model for disentangling the price of risk

Marginal likelihood for Markov-switching and change-point GARCH models

Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality

Theory and inference for a Markov switching GARCH model

Multivariate option pricing with time varying volatility and correlations

Relevant parameter changes in structural break models

Option pricing with asymmetric heteroskedastic normal mixture models

Nonlinear financial econometrics JoE special issue introduction

Sparse change‐point VAR models

Pricing individual stock options using both stock and market index information

Nonparametric density estimation for positive time series

Mixed Exponential Power Asymmetric Conditional Heteroskedasticity

Sparse Change-point HAR Models for Realized Variance

Nonparametric density estimation for multivariate bounded data

Evaluating portfolio Value-at-Risk using semi-parametric GARCH models

Bayesian option pricing using mixed normal heteroskedasticity models

Asymptotic properties of the Bernstein density copula estimator for α -mixing data

On marginal likelihood computation in change-point models

Clustered panel data models: an efficient approach for nowcasting from poor data

SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS

Bayesian Clustering of Many Garch Models

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