This work is licensed under a
Creative Commons Attribution 4.0 International License
Alexander, C.O. (2000), "Orthogonal methods for generating large positive semidefinite covariance matrices. Discussion Papers in Finance 2000-06, ISMA Centre.
Bautista, C. (2003), Stock market volatility in the Philippines, Applied Economics Letters, 10 (5), 315-318.
Badrinath, H.R., Apte, P.G., (2005), "Volatility Spillovers Across Stock, Call Money And Foreign Exchange Markets, Unpublished, 1-26.
Berkowitz (2001), Testing Density Forecasts With Applications to Risk Management, Journal of Business and Economic Statistics, 21 79-109.
Bollerslev, T., R.F. Engle and J.M. Wooldridge (1988), A Capital Asset Pricing Model with Time-Varying Covariances, Journal of Political Economy, 96, 116-131.
Billio, M., Caporin, M., Gobbo, M(2006), Flexible dynamic conditional correlation multivariate GARCH models for asset allocation. Applied Financial Economics Letters 2, 123-130.
Billio, M., M. Caporin and M. Gobbo (2003), Block Dynamic Conditional Correlation Multivariate GARCH Models, Working Paper 03. 03, Gruppi di Ricerca Economica Teorica e Applicata, Venice.
Dijk, D., H. Munandar & C. Hafner, (2011), The euro introduction and noneuro currencies, Applied Financial Economics, vol. 21(1-2), 95-116.
Engle, R. F. (2001), Dynamic conditional correlation: A simple class of multivariate GARCH models, University of California San Diego, Department of Economics.
Engle and Kroner (1995), Multivariate Simultaneous Generalised ARCH, Econometric Theory, Vol. 11, 122-150.
Engle, Ng and Rothschild (1990), Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills, Journal of Econometrics 45, 213-237.
Engle and Sheppard, 2001), Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, National Bureau Economic Research, working paper, No 8554.
FRB of St. Louis website: - http: /research. stlouisfed. org/fred2/data/DFF. txt.
Hautschand and Inkman (2003), Optimal Hedging of the Currency Exchange Risk Exposure of Dynamically Balanced Strategic Asset Allocations . Journal of Asset Management, 4, 173189.
Kearney, C. and V. Poti. (2003), DCC-GARCH Modelling of Market and Firm-Level Correlation Dynamics in the Dow Jones Eurostoxx50 Index. " Paper submitted to the European Finance Association Conference, Edinburgh.
Lee, M.C., J. S. Chiou and C.M. Lin (2006), A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH, Applied Financial Economics Letter, 2, 183-188.
Mishra, A. K., Swain, N and Malhotra, D.K., (2007) Volatility Spillover between Stock and Foreign Exchange Markets: Indian Evidence, International Journal of Business 12(3), 343359.
Mishra.A. K and Paul.T., (2008), : -http: /ssrn. com/abstract=1088255 or http: /dx. doi. org/10. 2139/ssrn. 1088255.
Pelagatti, Matteo M., and Setfania Rondena. (2004), Dynamic Conditional Correlation with Elliptical Distributions. Typescript.
Pesaran. B and M.H. Pesaran. (2007), Modelling Volatilities and Conditional Correlations in Future Markets with a Multivariate t Distribution, IZA DP No2905.
RBI Monthly Bulletins Various issues.