References
- Altay-Salih, A., Pinar M., Leyffer S. 2003. "Constrained Nonlinear Programming for Volatility Estimation with GARCH Models". http://www.siam.org/journals/sirev/45-3/40011.html
- Baur, D. 2004. "A Flexible Dynamic Correlation Model". Working Paper. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=377722
- Bauwens, L., Laurent S. and Rombouts J. V. K. 2006. "Multivariate GARCH models: A Survey". Journal of Applied Econometrics: 79-109
- Bollerslev, T. 1986. "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics 31:307-327.
- Bollerslev T., R. F. Engle, and J. M. Wooldridge. 1988. "A Capital Asset Pricing Model with Time-Varying Covariances", Journal of Political Economy 96 (1): 116-131.
- Brooks, C. 2002. Introductory Econometrics for Finance. Cambridge University Press
- Brooks, C., Burke S., Persand G. 2003. "Multivariate GARCH Models: Software Choice and Estimation Issues". Journal of Applied Econometrics 18: 725-234.
- De Goeij, P., Marquering W. 2004. "Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach". Journal of Financial Econometrics 2 (4): 531-564
- Franke, J., Härdle W., Hafner C. 2005. Introduction to Statistics of Financial Markets. http://www.quantlet.com/mdstat/scripts/sfe/html/sfeframe131.html
- Minović, J. Z. 2007a. "Univariate GARCH models: theoretical survey and application", BALCOR 07, Proceedings of International Conference, Zlatibor, Serbia.
- Minović, J. 2007b. "Application of multivariate GARCH models in Serbian financial market analysis", Proceedings of International Conference, International Scientific Conference, Faculty of Economics, Belgrade, Serbia.
- Minović J. Z. 2007c. "Multivariate GARCH models: Theoretical Survey and Model Application", M. Sc. Thesis. University of Belgrade, Faculty of Economics, Belgrade, Serbia.
- Tsay, R. S. 2005. Analysis of Financial Time Series, Wiley, New Jersey.
- Tse, Y. K. 2000. "A test for constant correlations in a multivariate GARCH model". Journal of Econometrics 98: 107-127.
- Tse, Y. K. 2002. "Residual-based diagnostics for conditional heteroscedasticity models". Econometrics Journal 5: 358-373.
- Tse, Y. K., and Tsui A. K. C. 1999. "A note on diagnosing multivariate conditional heteroscedasticity models". Journal of time series analysis 20 (6): 679-691.
- Vogelvang, B. 2005. Econometrics: Theory and Applications with EViews. Prentice Hall.
- Wang, M. and Yao Q. 2005. "Modelling multivariate volatilities: An ad hoc method". http://stats.lse.ac.uk/q.yao/qyao.links/paper/wy04.pdf
- Yang, W., David E. A. 2004. "Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures market". Accounting and Finance 45: 301-321.
- Zivot, E. and Wang J. 2006. Modelling Financial Time Series with S-PLUS. Springer.
- Quantitative Micro Software. 2005. EViews 5 User's Guide
- Official the Belgrade stock exchange web site http://www.belex.rs/index-e.php
- Brokerage web site http://www.sinteza.net/