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Top 10 univariate GARCH papers :
First ARCH model by Engle
GARCH Model by Bollerslev
Factor ARCH
EGARCH of Nelson
GJR-GARCH of G.,J. and R.
T-GARCH of Zakoian
New impacts curve of the GARCH models
APARCH models
Review of GARCH models
Forecast comparison
[Top 10 Multivariate GARCH papers :
General Dynamic Covariance (GDC) model
Constant Correlation (CCC) Model by Bollerslev
Dynamic Correlation Model (DCC) of Tse and Tsui
Dynamic Correlation Model (DCC) of Engle
Properties of DCC
Orthogonal GARCH model
Asymmetric version of DCC models
Review of Multivariate GARCH Models
Matrix exponential GARCH
Dynamic correlations between groups of financial assets
Here the Best MATLAB GARCH toolbox by Kevin Sheppard. A lot of more fonctions than MATLAB GARCH toolbox. For example, MGARCH like BEKK, DCC models.
https://bbs.pinggu.org/thread-142018-1-1.html
91380.rar
(11.46 MB, 需要: 20 个论坛币)
91543.rar
(13.03 MB, 需要: 20 个论坛币)
[此贴子已经被作者于2007-2-14 5:24:43编辑过]
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