E-Prints Complutense

Caporin, Massimiliano and McAleer, Michael (2009) A Scientific Classification of Volatility Models. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2009) Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and Caporin, Massimiliano and McAleer, Michael (2012) Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. [Working Paper or Technical Report] (Submitted)

Caporin, Massimiliano and McAleer, Michael (2011) Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2012) Robust Ranking of Multivariate GARCH Models by Problem Dimension. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2013) Ten Things You Should Know About DCC. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2009) Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. [Working Paper or Technical Report] (Unpublished)