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Variance (non) causality in multivariate GARCH
Caporin, Massimiliano - In: Econometric reviews 26 (2007) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10003509003
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Periodic Long-Memory GARCH Models
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco - In: Econometric reviews 28 (2009) 1, pp. 60-82
Persistent link: https://www.econbiz.de/10008160779
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Periodic Long-Memory GARCH Models
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco - In: Econometric reviews 28 (2008) 1, pp. 60-83
Persistent link: https://www.econbiz.de/10009266582
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Variance (Non) Causality in Multivariate GARCH
Caporin, Massimiliano - In: Econometric reviews 26 (2007) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10007609585
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Periodic long-memory GARCH models
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco - In: Econometric reviews 28 (2009) 1/3, pp. 60-82
Persistent link: https://www.econbiz.de/10003800657
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Proximity-structured multivariate volatility models
Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593
Persistent link: https://www.econbiz.de/10011373256