Flexible multivariate GARCH modeling with an application to international stock markets

This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the nev^ estimator with a number of existing ones.

Comments on ‘‘Modeling fractional stochastic systems as non-random fractional dynamics driven Brownian motions

Applied Mathematical Modelling, Vol.33

A new least-squares approach to differintegration modeling

Signal Processing, Vol. 86, nº 10

Study of a 9th century silver earrings set from Mikulčice: corrosion, conservation and maintenance

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Conservação e Restauro

Building information modeling: oportunidades e desafios para projectistas e donos de obra em Portugal

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Engenharia Civil-Perfil de Construção

A calculus for modeling and analyzing conversations in service-oriented computing

Dissertação apresentada para a obtenção do Grau de Doutor em Informática pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia

Constraint-based modeling of minimum set covering: application to species differentation

Work presented in the context of the European Master in Computational Logics, as partial requisit for the graduation as Master in Computational Logics

Modeling assembly program with constraints. A contribution to WCET problem

Dissertação para obtenção do Grau de Mestre em Lógica Computacional

Urban sprawl analysis and modeling in Asmara, Eritreia: Application of Geospatial Tools

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.

Urban land cover change detection analysis and modeling spatio-temporal Growth dynamics using Remote Sensing and GIS Techniques: A case study of Dhaka, Bangladesh

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.

Spatio-Temporal data modeling in response to deforestation monitoring (a case study of small region in Riau Province, Indonesia)

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.

Hydrologic modeling and uncertainty analysis of an ungauged watershed using mapwindow-swat

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies

Stochastic modeling of the thermal and catalytic degradation of polyethylene using simultaneous DSC/TG analysis

Dissertação para obtenção do Grau de Mestre em Engenharia Química e Bioquímica

Partial Least Square – Path Modeling: metodologia, software e aplicação

Trabalho de Projeto apresentado como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação

Urban land use and land cover change analysis and modeling a case study area Malatya, Turkey

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.