Finance research letters · 2020 · 336 citations · 37 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsQuantitative FinanceCapital MarketsContagion ProcessesFinancial CrisesFinancial RiskMarket RiskStock MarketsContagion DynamicsContagion In Financial MarketsContagion RiskCorrelation DynamicsEpidemic Economic Dynamics
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
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Dynamic Conditional Correlation
Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations
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Multivariate Simultaneous Generalized ARCH
Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations
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