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Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien, (2011)
Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian, (2011)
A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian, (2013)
The relation between macroeconomic variables and stock market returns using multivariate methods
Grigoris, Michailidis, (2008)
Grigoris, Michailidis, (2018)