SSRN Electronic Journal · 2010 · 59 citations · 49 references
BusinessEconomicsFinanceEconometricsFinancial EconometricsFinancial EconomicsAsset AllocationCapital MarketsDependence ModelingInternational DiversificationPortfolio DiversificationTemporal Dependence ModelingCorrelation AnalysisCorrelation DynamicsDependence In Asset ReturnsDynamic DependenceInternational Investment DiversificationPortfolio Asset AllocationReturn Correlation AnalysisTail Dependence Analysis
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Dynamic Conditional Correlation
Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations
Business, Finance, Econometrics +16
Multivariate Simultaneous Generalized ARCH
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Measuring and Testing the Impact of News on Volatility
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Extreme Correlation of International Equity Markets
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