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isPartOf:"Journal of econometrics"
~isPartOf:"The Korean economic review"
~person:"Bekaert, Geert"
~person:"McAleer, Michael"
~subject:"ARCH-Modell"
~subject:"Estimation"
~type:"article"
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Search: subject_exact:"Volatility"
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ARCH-Modell
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Volatility
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1975-1998
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Bekaert, Geert
McAleer, Michael
Todorov, Viktor
13
Bollerslev, Tim
10
Tauchen, George Eugene
7
Andersen, Torben
5
Aït-Sahalia, Yacine
5
Kim, Donggyu
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Journal of econometrics
The Korean economic review
Econometric reviews
5
Econometrics : open access journal
3
Energy economics
3
International review of economics & finance : IREF
3
Journal of risk and financial management : JRFM
3
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3
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Quantifying consumer preferences
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
7
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1
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
2
Bad environments, good environments : a non-Gaussian asymmetric volatility model
Bekaert, Geert
;
Engstrom, Eric
;
Ermolov, Andrey
- In:
Journal of econometrics
186
(
2015
)
1
,
pp. 258-275
Persistent link: https://www.econbiz.de/10011349501
Saved in:
3
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
4
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
5
The VIX, the variance premium and stock market volatility
Bekaert, Geert
;
Hoerova, Marie
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 181-192
Persistent link: https://www.econbiz.de/10010506065
Saved in:
6
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin
;
McAleer, Michael
- In:
The Korean economic review
50
(
2009
)
2
,
pp. 241-267
Persistent link: https://www.econbiz.de/10003926815
Saved in:
7
An econometric analysis of asymmetric volatility : theory and application to patents
McAleer, Michael
;
Chan, Felix
;
Marinova, Dora
- In:
Journal of econometrics
139
(
2007
)
2
,
pp. 259-284
Persistent link: https://www.econbiz.de/10003485356
Saved in:
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