Multivariate GARCH models: Software choice and estimation issues

[1] [Anonymous], J EC SOCIAL MEASUREM

[2] BIVARIATE GARCH ESTIMATION OF THE OPTIMAL COMMODITY FUTURES HEDGE [J]. JOURNAL OF APPLIED ECONOMETRICS, 1991, 6 (02) : 109 - 124

[3] A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J]. JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) : 116 - 131

[4] MODELING THE COHERENCE IN SHORT-RUN NOMINAL EXCHANGE-RATES - A MULTIVARIATE GENERALIZED ARCH MODEL [J]. REVIEW OF ECONOMICS AND STATISTICS, 1990, 72 (03) : 498 - 505

[5] The effect of asymmetries on optimal hedge ratios [J]. JOURNAL OF BUSINESS, 2002, 75 (02) : 333 - 352

[6] Brooks C, 1997, ECON J, V107, P1271

[7] Benchmarks and the accuracy of GARCH model estimation [J]. INTERNATIONAL JOURNAL OF FORECASTING, 2001, 17 (01) : 45 - 56

[8] MULTIVARIATE SIMULTANEOUS GENERALIZED ARCH [J]. ECONOMETRIC THEORY, 1995, 11 (01) : 122 - 150

[9] Modeling asymmetric comovements of asset returns [J]. REVIEW OF FINANCIAL STUDIES, 1998, 11 (04) : 817 - 844

[1] [Anonymous], J EC SOCIAL MEASUREM

[2] BIVARIATE GARCH ESTIMATION OF THE OPTIMAL COMMODITY FUTURES HEDGE [J]. JOURNAL OF APPLIED ECONOMETRICS, 1991, 6 (02) : 109 - 124

[3] A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J]. JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) : 116 - 131

[4] MODELING THE COHERENCE IN SHORT-RUN NOMINAL EXCHANGE-RATES - A MULTIVARIATE GENERALIZED ARCH MODEL [J]. REVIEW OF ECONOMICS AND STATISTICS, 1990, 72 (03) : 498 - 505

[5] The effect of asymmetries on optimal hedge ratios [J]. JOURNAL OF BUSINESS, 2002, 75 (02) : 333 - 352

[6] Brooks C, 1997, ECON J, V107, P1271

[7] Benchmarks and the accuracy of GARCH model estimation [J]. INTERNATIONAL JOURNAL OF FORECASTING, 2001, 17 (01) : 45 - 56

[8] MULTIVARIATE SIMULTANEOUS GENERALIZED ARCH [J]. ECONOMETRIC THEORY, 1995, 11 (01) : 122 - 150

[9] Modeling asymmetric comovements of asset returns [J]. REVIEW OF FINANCIAL STUDIES, 1998, 11 (04) : 817 - 844