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language:"nor"
subject:"Estimation"
~accessRights:"restricted"
~language:"eng"
~language:"rus"
~person:"McAleer, Michael"
~source:"econis"
~subject:"Time series analysis"
~subject:"Volatility"
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Estimation
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10
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6
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6
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5
ARCH model
4
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McAleer, Michael
Gupta, Rangan
150
Bahmani-Oskooee, Mohsen
71
Gil-Alaña, Luis A.
65
Zaremba, Adam
53
Tiwari, Aviral Kumar
51
Wohar, Mark E.
46
Apergēs, Nikolaos
42
Balcilar, Mehmet
41
Marcellino, Massimiliano
41
Lee, Chien-chiang
38
Shahbaz, Muhammad
38
Ma, Feng
34
Salisu, Afees A.
34
Xuan Vinh Vo
34
Hammoudeh, Shawkat
33
Bouri, Elie
32
Caporale, Guglielmo Maria
31
Jalles, João Tovar
31
Pierdzioch, Christian
31
Wang, Yudong
29
Kang, Sang Hoon
28
Narayan, Paresh Kumar
28
Rodríguez-Pose, Andrés
27
Chang, Tsangyao
26
Massa, Massimo
26
Mensi, Walid
26
Rose, Andrew
26
Yoon, Seong-min
26
Gambetti, Luca
25
Jawadi, Fredj
25
Ours, Jan C. van
25
Zhang, Yaojie
25
Kumbhakar, Subal
24
Serletis, Apostolos
24
Shahzad, Syed Jawad Hussain
24
Van Reenen, John
24
Egger, Peter
23
Forni, Mario
23
Wagner, Joachim
23
Afonso, António
22
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Applied economics
2
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2
International review of economics & finance : IREF
2
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2
Annals of financial economics
1
Econometrics : open access journal
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International journal of forecasting
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ECONIS (ZBW)
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1
Zero-inflated poisson regression models : aplications in the sciences and social sciences
Truong, Buu-chau
;
Pho, Kim-Hung
;
Dinh, Cong-chanh
; …
- In:
Annals of financial economics
16
(
2021
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012656863
Saved in:
2
Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
Asai, Manabu
;
Gupta, Rangan
;
McAleer, Michael
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 933-948
Persistent link: https://www.econbiz.de/10012497080
Saved in:
3
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
Saved in:
4
Daily market news sentiment and stock prices
Allen, David E.
;
McAleer, Michael
;
Singh, Abhay Kumar
- In:
Applied economics
51
(
2019
)
30
,
pp. 3212-3235
Persistent link: https://www.econbiz.de/10012196823
Saved in:
5
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices
Allen, David E.
;
Chang, Chia-Lin
;
McAleer, Michael
; …
- In:
Applied economics
50
(
2018
)
7
,
pp. 804-823
Persistent link: https://www.econbiz.de/10011847174
Saved in:
6
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
Saved in:
7
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
8
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:
9
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:
10
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
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