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language:"nor"
~isPartOf:"Applied financial economics"
~isPartOf:"Journal of econometrics"
~language:"bos"
~language:"eng"
~language:"hun"
~language:"pol"
~language:"rus"
~language:"zho"
~person:"Barigozzi, Matteo"
~person:"McAleer, Michael"
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Estimation
8
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8
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5
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5
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4
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4
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3
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3
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Barigozzi, Matteo
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Todorov, Viktor
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9
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8
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3
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Applied financial economics
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ECONIS (ZBW)
8
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1
Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo
;
Lippi, Marco
;
Luciani, Matteo
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
Saved in:
2
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
3
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:
4
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:
5
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Barigozzi, Matteo
;
Brownlees, Christian
;
Gallo, Giampiero M.
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 364-384
Persistent link: https://www.econbiz.de/10010497747
Saved in:
6
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:
7
Efficient estimation and testing of oil futures contracts in a mutual offset system
McAleer, Michael
;
Sequeira, John M.
- In:
Applied financial economics
14
(
2004
)
13
,
pp. 953-962
Persistent link: https://www.econbiz.de/10002195488
Saved in:
8
Testing the risk premium and cost-of-carry hypotheses for currency futures contracts
Sequeira, John M.
;
McAleer, Michael
- In:
Applied financial economics
10
(
2000
)
3
,
pp. 277-289
Persistent link: https://www.econbiz.de/10001526288
Saved in:
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