The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by...

We analyze the returns of stocks contained in the Standard & Poor’s 500 index from 1987 until 2011. We use covariance matrices of the...

A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models...

We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time...

In this paper we analyze transitions in the stock markets of the US, the UK, and Germany. For all this markets we find that while the...