Concepedia

The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model

Andrew Marshall, Tubagus Maulana, Leilei Tang

International Review of Financial Analysis · 2009 · 33 citations · 35 references

DOI

Concepts

References

35

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

, , +15

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

, , +16

Techniques for Testing the Constancy of Regression Relationships Over Time

R. L. Brown, J. Durbin, Jessica Evans · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1975 · 5K citations

, , +16

Expectations and the neutrality of money

Robert E. Lucas · Journal of Economic Theory · 1972 · 4.7K citations

, , +5

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations

, , +16