Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model

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Market interdependence and volatility transmission among major crops (2016, methodology): “…of T-BEKK model, subsample periods 23 A.3 Test for correct specification of conditional covariance matrix of T-BEKK and T-DCC models based on Long, Su, and Ullah (2011) 25 A.4 Estimation results of T-BEKK model, including additional regressors in mean equation 26 A.5 Estimation results of…”
Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective (2012, methodology): “Again, the methodology can be extended to various frameworks modeling time-dependent correlations (Long et al., 2011) or even time- and frequency-dependent correlations (Vacha and Barunik, 2012).”
Volatility linkages between energy and agricultural commodity prices (2016, methodology): “Serra (2011) extends the results of Serra et al. (2011) by applying a semiparametric multivariate GARCH model proposed by Long et al. (2011), which is robust to potential misspeci cations of the error density and of the functional form of the conditional covariance matrix.”
Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach (2011, methodology): “This article examines these links by using a semiparametric GARCH model recently proposed by Long et al. (2011), which is essentially a nonparametric correction of the parametric conditional covariance function.”