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The Oxford MFE Toolbox is the follow on to the UCSD GARCH toolbox. It has been widely used by students here at Oxford, and represents a substantial improvement in robustness over the original UCSD GARCH code, although in its current form it only contains univariate routines.
312722.zip
本附件包括：
GARCH模型簇及多元GARCH模型组外文文献19篇
其中几篇是文献综述
1.Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH. Robert F. Engle&Kevin Sheppardy
2.Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia.Gerard H. Kuper , Lestano
3.ARCH modeling in finance:A review of the theory and empirical evidence.Tim Bollerslev,Ray Y. Chou,Kenneth F. Kroner
4.Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.Robert F. Engle.
5.Correlation dynamics in Europeanequity markets.Colm Kearney ,Valerio Pot
6.GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY.Tim BOLLERSLEV.
7.Forecasting the covariance matrix with the DCC GARCH model.
8.Multivariate extremes for models with constant conditional correlations.
9.A GARCH Forecasting Model to Predict Day-Ahead Electricity Prices.
10.BAYESIAN CLUSTERING OF MANY GARCH MODELS .Bauwens, Rombouts
11.COMPARING AND RANKING COVARIANCE STRUCTURES OF M-GARCH VOLATILITY MODELS.
12.Forecasting Volatility in Financial Markets: A Review
13.Forecasting Volatility with a GARCH(1,1) Model: Some NewAnalytical and Monte Carlo Results
14.Garch Forecasting Performance under Different Distribution Assumptions
15.Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management
16.Multivariate GARCH models
17.GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY.Tim BOLLERSLEV.
18.Forecasting Volatility: Evidence from the Macedonian Stock Exchange.
19.MULTIVARIATE GARCH MODELS: A SURVEY
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