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person:"McAleer, Michael"
~accessRights:"restricted"
~person:"Moura, Guilherme Valle"
~person:"Saha, Sujata"
~subject:"Asymmetry"
~subject:"Multivariate stochastic volatility"
~subject:"Scientific modelling"
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Search: subject_exact:"Volatility"
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Asymmetry
Multivariate stochastic volatility
Scientific modelling
Volatility
43
Volatilität
36
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16
ARCH model
14
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14
Stochastic process
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Stochastic volatility
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asymmetry
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leverage
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McAleer, Michael
Moura, Guilherme Valle
Saha, Sujata
Bahmani-Oskooee, Mohsen
8
Asai, Manabu
7
Chang, Chia-Lin
5
Caporin, Massimiliano
3
Klein, Tony
3
Levendis, John D.
3
Nonejad, Nima
3
Ahmed, Walid M. A.
2
Amendola, Alessandra
2
Anatolyev, Stanislav
2
Audrino, Francesco
2
Candila, Vincenzo
2
Chan, Joshua
2
Fabozzi, Frank J.
2
Jabłecki, Juliusz
2
Jawadi, Fredj
2
Kumar, Dilip
2
Mahoney, Daniel
2
Motavallizadeh-Ardakani, Amid
2
Neusser, Klaus
2
Peng, Zhe
2
Qiao, Gaoxiu
2
Roy, Preeti
2
Salisu, Afees A.
2
Sentana, Enrique
2
Shahzad, Syed Jawad Hussain
2
Siddiqui, Saif
2
Teräsvirta, Timo
2
Walther, Thomas
2
Wang, Shouyang
2
Wu, Chongfeng
2
Xie, Tian
2
Zhang, Bing
2
Zhang, Xinyu
2
Abdelsalam, Mamdouh Abdelmoula Mohamed
1
Aboura, Sofiane
1
Adekoya, Oluwasegun B.
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Journal of econometrics
4
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2
International review of economics & finance : IREF
2
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1
Econometric reviews
1
Econometrics : open access journal
1
Global finance journal
1
Journal of economics and finance
1
Journal of economics and finance : JEF
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ECONIS (ZBW)
15
RePEc
2
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1
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
2
Asymmetric impact of oil price changes on stock prices : evidence from country and sectoral level data
Saha, Sujata
- In:
Journal of economics and finance : JEF
46
(
2022
)
2
,
pp. 237-282
Persistent link: https://www.econbiz.de/10013190521
Saved in:
3
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:
4
Maximum likelihood estimation of a TVP-VAR
Moura, Guilherme Valle
;
Noriller, Mateus R.
- In:
Economics letters
174
(
2019
),
pp. 78-83
Persistent link: https://www.econbiz.de/10012121029
Saved in:
5
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:
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
On the relation between exchange rates and stock prices : a non-linear ARDL approach and asymmetry analysis
Bahmani-Oskooee, Mohsen
;
Saha, Sujata
- In:
Journal of economics and finance
42
(
2018
)
1
,
pp. 112-137
Persistent link: https://www.econbiz.de/10011978144
Saved in:
8
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
9
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:
10
The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin
;
McAleer, Michael
- In:
Economics letters
161
(
2017
),
pp. 52-55
Persistent link: https://www.econbiz.de/10011903867
Saved in:
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