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Nonlinear causality tests and multivariate conditional heteroskedasticity : a simulation study
Pavlidis, Efthymios G., (2013)
A practical multivariate approach to testing volatility spillover
Leong, Soon Heng, (2023)
The role of credit in the Great Moderation : a multivariate GARCH approach
Grydaki, Maria, (2013)
The role of jumps in realized volatility modeling and forecasting
Caporin, Massimiliano, (2023)
Equity and CDS sector indices : dynamic models and risk hedging
Caporin, Massimiliano, (2013)
Evaluating value-at-risk measures in the presence of long memory conditional volatility
Caporin, Massimiliano, (2008)