New frontiers for arch models
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Cites background from "New frontiers for arch models"
...It would also be useful to examine the volatility-forecasting performance of multivariate GARCH-type models and multivariate nonlinear models, incorporating both temporal and contemporaneous dependencies; see also Engle (2002) for some further possible areas of new research....
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Cites background or methods from "New frontiers for arch models"
...…and intensity (ACD and ACI, respectively) models of Engle and Russell (1998) and Russell (2001), the dynamic conditional correlation (DCC) model of Engle (2002a), the Poisson count models discussed by Davis, Dunsmuir, and Streett (2003), the dynamic copula models of Patton (2006), and the…...
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...(12) This specification is equivalent to the multiplicative error model (MEM) proposed by Engle (2002b) and extended in Engle and Gallo (2006)....
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References
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"New frontiers for arch models" refers methods in this paper
...The most influential models were the first: the GARCH model of Bollerslev(1986), and the EGARCH of Nelson(1991)....
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7,867 citations
"New frontiers for arch models" refers methods in this paper
...It is a discrete time analogue of square root diffusion models used by Cox Ingersoll and Ross(1085) , Heston(1993) and many others....
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