Dynamic Conditional Correlation Multiplicative Error Processes

[1]  Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models , 2014 .

[2]  M. A. Carnero,et al.  Estimating VAR-MGARCH models in multiple steps , 2014 .

[3]  C. Brownlees,et al.  A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series , 2012 .

[4]  Harry Joe,et al.  Composite Likelihood Methods , 2012 .

[5]  Nikolaus Hautsch,et al.  Econometrics of Financial High-Frequency Data , 2011 .

[6]  G. P. Aielli,et al.  Dynamic Conditional Correlation: On Properties and Estimation , 2011 .

[7]  H. Joe,et al.  COMPOSITE LIKELIHOOD FOR TIME SERIES MODELS WITH A LATENT AUTOREGRESSIVE PROCESS , 2011 .

[8]  Fabrizio Cipollini,et al.  Intra-Daily Volume Modeling and Prediction for Algorithmic Trading , 2010 .

[9]  Tae-Hwy Lee,et al.  Copula-based multivariate GARCH model with uncorrelated dependent errors , 2009 .

[10]  Yan Liu,et al.  Efficient estimation of copula-GARCH models , 2009, Comput. Stat. Data Anal..

[11]  R. Engle,et al.  A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics , 2009 .

[12]  Fabrizio Cipollini,et al.  Semiparametric Vector MEM , 2008 .

[13]  Nikolaus Hautsch,et al.  Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model , 2008 .

[14]  M. Rockinger,et al.  The Copula-GARCH model of conditional dependencies: An international stock market application , 2006 .

[15]  Andrew J. Patton Modelling Asymmetric Exchange Rate Dependence , 2006 .

[16]  Timo Teräsvirta,et al.  Evaluating Models of Autoregressive Conditional Duration , 2006 .

[17]  H. Joe Asymptotic efficiency of the two-stage estimation method for copula-based models , 2005 .

[18]  L. Bauwens,et al.  The stochastic conditional duration model: a latent variable model for the analysis of financial durations , 2004 .

[19]  Eric Ghysels,et al.  Stochastic volatility duration models , 2004 .

[20]  L. Bauwens,et al.  Multivariate GARCH Models: A Survey , 2003 .

[21]  Olivier Ledoit,et al.  Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size , 2002 .

[22]  R. Engle Dynamic Conditional Correlation , 2002 .

[23]  R. Engle New Frontiers for Arch Models , 2002 .

[24]  S. Manganelli Duration, Volume and Volatility Impact of Trades , 2002, SSRN Electronic Journal.

[25]  Ruey S. Tsay,et al.  A nonlinear autoregressive conditional duration model with applications to financial transaction data , 2001 .

[26]  Michael W. Brandt,et al.  Range-Based Estimation of Stochastic Volatility Models , 2001 .

[27]  L. Bauwens,et al.  The Logarithmic Acd Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks , 2000 .

[28]  Peter F. Christoffersen Evaluating Interval Forecasts , 1998 .

[29]  H. Joe Multivariate models and dependence concepts , 1998 .

[30]  Jeffrey R. Russell,et al.  Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data , 1998 .

[31]  Robert F. Engle,et al.  The Econometrics of Ultra-High Frequency Data , 1996 .

[32]  Adrian Pagan,et al.  Estimation, Inference and Specification Analysis. , 1996 .

[33]  L. Glosten Is the Electronic Open Limit Order Book Inevitable , 1994 .

[34]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[35]  R. Engle Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[36]  S. John Some optimal multivariate tests , 1971 .

[37]  S. Taylor Financial Returns Modelled by the Product of Two Stochastic Processes , 1961 .