The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Copula-based multivariate GARCH model with uncorrelated dependent errors
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Citations
Cites
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
A Test for Superior Predictive Ability
Hansen, P. R. (2005) · Journal of Business & Economic Statistics · doi:10.1198/073500105000000063 · Cited by 1,230
Cited by
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
Creal, D., Koopman, S. J., & Lucas, A. (2013) · Journal of Applied Econometrics · doi:10.1002/jae.1279 · Cited by 981
A review of copula models for economic time series
Patton, A. J. (2012) · Journal of Multivariate Analysis · doi:10.1016/j.jmva.2012.02.021 · Cited by 584
Copula–Based Models for Financial Time Series
Patton, A. J. (2009) · Handbook of Financial Time Series · doi:10.1007/978-3-540-71297-8_34 · Cited by 360
Copula Methods for Forecasting Multivariate Time Series
Patton, A. (2013) · Handbook of Economic Forecasting · doi:10.1016/b978-0-444-62731-5.00016-6 · Cited by 320
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, D., Koopman, S. J., & Lucas, A. (2011) · Journal of Business & Economic Statistics · doi:10.1198/jbes.2011.10070 · Cited by 293
Metadata
- Authors
- Lee, T.-H., & Long, X.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2009-06
- Volume
- 150
- Issue
- 2
- Pages
- 207-218
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2044498584
- Cited by
- 163
- References
- 2
- FWCI
- 15.16
- Type
- journal article
- Language
- en
- Open access
- closed
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- Lee, T.-H., & Long, X. (2009). Copula-based multivariate GARCH model with uncorrelated dependent errors. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2008.12.008
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
