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isPartOf:"Journal of econometrics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"McAleer, Michael"
~person:"Steude, Sven Christian"
~subject:"ARCH-Modell"
~subject:"Long memory"
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Search: subject_exact:"Volatility"
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ARCH-Modell
Long memory
Volatility
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McAleer, Michael
Steude, Sven Christian
Chang, Chia-Lin
5
Kang, Sang Hoon
5
Mensi, Walid
5
Asai, Manabu
4
Bollerslev, Tim
4
Francq, Christian
4
Paolella, Marc S.
4
Wu, Xinyu
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Zakoïan, Jean-Michel
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3
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3
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3
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Allen, David E.
2
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2
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2
Gonçalves, Sílvia
2
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2
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Kok Haur Ng
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Li, Wai Keung
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2
Polak, Pawel
2
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Journal of econometrics
The North American journal of economics and finance : a journal of financial economics studies
Econometric Institute research papers
36
Discussion paper / Tinbergen Institute
23
Working paper
16
Econometric reviews
3
Econometrics : open access journal
3
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3
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3
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TI 2017-038/III Tinbergen Institute Discussion Paper
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The Korean economic review
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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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Tinbergen Institute Discussion Paper 2018-052/III
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1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
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:
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
Stable mixture GARCH models
Broda, Simon A.
;
Haas, Markus
;
Krause, Jochen
; …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 292-306
Persistent link: https://www.econbiz.de/10009706200
Saved in:
5
Is small beautiful? : size effects of volatility spillovers for firm performance and exchange rates in tourism
Chang, Chia-Lin
;
Hsu, Hui-kuang
;
McAleer, Michael
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 519-534
Persistent link: https://www.econbiz.de/10010367563
Saved in:
6
Time-varying mixture GARCH models and asymmetric volatility
Haas, Markus
;
Krause, Jochen
;
Paolella, Marc S.
; …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 602-623
Persistent link: https://www.econbiz.de/10010370491
Saved in:
7
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
Saved in:
8
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
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