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Applied Economics Letters Volume 16, 2009 - Issue 17
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Original Articles

On the multivariate EGARCH model

Ten-Der Jane Institute of Business and Management, National Chiao Tung University, 118 Chung-Hsiao West Road, Section 1, Taipei, Taiwan
&
Cherng G. Ding Institute of Business and Management, National Chiao Tung University, 118 Chung-Hsiao West Road, Section 1, Taipei, TaiwanCorrespondence[email protected]
Pages 1757-1761 | Published online: 13 Feb 2008

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Lithin B M, Suman Chakraborty, Vishwanathan Iyer, Nikhil M N & Sanket Ledwani. (2023) Modelling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India. Cogent Economics & Finance 11:1.
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Ganghua Mei & Robert McNown. (2019) Dynamic causality between the U.S. stock market, the Chinese stock market and the global gold market: implications for individual investors’ diversification strategies. Applied Economics 51:43, pages 4742-4756.
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Joanna Olbrys. (2013) Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones. Emerging Markets Finance and Trade 49:sup2, pages 145-157.
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Articles from other publishers (5)

Yugang He. (2022) Causality Tests and Their Applications to China’s Stock and Housing Markets. Discrete Dynamics in Nature and Society 2022, pages 1-8.
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Ju. S. Trifonov & B. S. Potanin. (2022) Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix. Finance: Theory and Practice 26:2, pages 204-218.
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Roberto Esposti. (2021) On the long-term common movement of resource and commodity prices.A methodological proposal. Resources Policy 72, pages 102010.
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Ngo Thai Hung. (2018) Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model. Global Business Review 22:1, pages 36-56.
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Seema Narayan. (2019) The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks. Journal of Risk and Financial Management 12:4, pages 160.
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