Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models

Multivariate Simultaneous Generalized ARCH

1995 • 4,490 citations

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

1990 • 3,552 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Large sample estimation and hypothesis testing

1986 • 2,387 citations

CAViaR

2004 • 2,005 citations

Modeling Asymmetric Comovements of Asset Returns

1998 • 1,430 citations

Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

2001 • 826 citations

Chapter 49 Arch models

1994 • 820 citations

Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

2001 • 253 citations

Optimal dynamic hedging portfolios and the currency composition of external debt

1991 • 71 citations

A Primer on the Orthogonal GARCH Model

2001 • 58 citations