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person:"McAleer, Michael"
~accessRights:"free"
~isPartOf:"Econometric Institute research papers"
~isPartOf:"Working paper"
~person:"Leschinski, Christian"
~subject:"United States"
~subject:"Zeitreihenanalyse"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Volatility"
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United States
Zeitreihenanalyse
Volatility
97
Volatilität
97
ARCH model
44
ARCH-Modell
44
Estimation
28
Schätzung
28
USA
25
Spillover effect
24
Spillover-Effekt
24
Capital market returns
22
Kapitalmarktrendite
22
Forecasting model
19
Prognoseverfahren
19
Stochastic process
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Stochastischer Prozess
18
Börsenkurs
17
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17
Welt
17
World
17
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16
Risk measure
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Capital income
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Time series analysis
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Oil price
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Portfolio selection
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Spot market
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Spotmarkt
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Theorie
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Ölpreis
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11
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Arbeitspapier
36
Graue Literatur
36
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36
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English
36
Author
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McAleer, Michael
Leschinski, Christian
Chang, Chia-Lin
13
Asai, Manabu
10
Guo, Hui
6
Österholm, Pär
4
Blazsek, Szabolcs
3
Caporin, Massimiliano
3
Escribano, Álvaro
3
Hammoudeh, Shawkat
3
Hsieh, Tai-Lin
3
Karlsson, Sune
3
Medeiros, Marcelo C.
3
Neely, Christopher J.
3
Piger, Jeremy Max
3
Yu, Jun
3
Allen, David E.
2
Dijk, Dick van
2
Javed, Farrukh
2
Kim, Chang-jin
2
Kiss, Tamás
2
Licht, Adrian
2
Liu, Tengdong
2
Manera, Matteo
2
Nguyen, Hoang
2
Powell, Robert
2
Savickas, Robert
2
Shi, Shuping
2
Singh, Abhay Kumar
2
Tansuchat, Roengchai
2
Alfelt, Gustav
1
Allena, David E.
1
Amrama, Ron
1
Awartani, Basel
1
Ayala, Astrid
1
Baillie, Richard
1
Baker, Scott
1
Bannouh, Karim
1
Bardgett, Chris
1
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1
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Econometric Institute research papers
Working paper
Discussion paper / Tinbergen Institute
19
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
6
CREATES research paper
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
1
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ECONIS (ZBW)
36
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The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures
Asai, Manabu
;
Gupta, Rangan
;
McAleer, Michael
-
2019
Persistent link: https://www.econbiz.de/10011986953
Saved in:
2
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011823293
Saved in:
3
Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2018
-
Revised: September 2018
Persistent link: https://www.econbiz.de/10011920700
Saved in:
4
Connecting VIX and stock index ETF
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2017
-
Revised: January 2017
Persistent link: https://www.econbiz.de/10011823316
Saved in:
5
Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin
;
McAleer, Michael
;
Zuo, Guangdong
-
2017
-
Revised: May 2017
Persistent link: https://www.econbiz.de/10011965722
Saved in:
6
Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin
;
McAleer, Michael
;
Tian, Jiarong
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541151
Saved in:
7
Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yanghuiting
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500276
Saved in:
8
An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Chien-Hsun
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500282
Saved in:
9
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2016
Persistent link: https://www.econbiz.de/10011823323
Saved in:
10
How are VIX and stock index ETF related?
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011447222
Saved in:
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