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person:"McAleer, Michael"
~accessRights:"restricted"
~person:"Saha, Sujata"
~subject:"Asymmetry"
~subject:"Multivariate stochastic volatility"
~subject:"Scientific modelling"
~subject:"Theory"
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Search: subject_exact:"Volatility"
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Asymmetry
Multivariate stochastic volatility
Scientific modelling
Theory
Volatility
40
Volatilität
33
Estimation
14
Schätzung
14
ARCH model
12
ARCH-Modell
12
Börsenkurs
12
Share price
12
Stochastic process
11
Stochastischer Prozess
11
Theorie
11
Time series analysis
11
Zeitreihenanalyse
11
Capital market returns
8
Kapitalmarktrendite
8
Capital income
7
Kapitaleinkommen
7
Spillover effect
7
Spillover-Effekt
7
Exchange rate
5
Forecasting model
5
Prognoseverfahren
5
Stochastic volatility
5
Wechselkurs
5
asymmetry
5
Futures
4
Leverage effects
4
leverage
4
Cointegration
3
Commodity derivative
3
Kointegration
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Long memory
3
Monte Carlo simulation
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Monte-Carlo-Simulation
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English
17
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McAleer, Michael
Saha, Sujata
Gupta, Rangan
17
Wang, Yudong
11
Bahmani-Oskooee, Mohsen
10
Chan, Joshua
10
Asai, Manabu
9
Aït-Sahalia, Yacine
9
Jawadi, Fredj
9
Rodriguez, Gabriel
9
Caporin, Massimiliano
8
Nonejad, Nima
8
Wohar, Mark E.
8
Escobar, Marcos
7
Giglio, Stefano
7
Hallin, Marc
7
Kelly, Bryan T.
7
Marcellino, Massimiliano
7
Wu, Chongfeng
7
Catania, Leopoldo
6
Chang, Chia-Lin
6
Fernández-Villaverde, Jesús
6
Ftiti, Zied
6
Gallo, Giampiero M.
6
Herwartz, Helmut
6
Kumar, Dilip
6
Ma, Feng
6
Shi, Yanlin
6
Tiwari, Aviral Kumar
6
Zehri, Chokri
6
Zhang, Yaojie
6
Barigozzi, Matteo
5
Başak, Suleyman
5
Bekiros, Stelios
5
Bouri, Elie
5
Carriero, Andrea
5
Clements, Adam
5
Cross, Jamie
5
Della Corte, Pasquale
5
Fabozzi, Frank J.
5
Farmer, Roger E. A.
5
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Journal of econometrics
4
Econometric reviews
2
International review of economics & finance : IREF
2
Computational economics
1
Econometrics : open access journal
1
Economics letters
1
Finance research letters
1
Global finance journal
1
International journal of economic theory
1
Journal of economics and finance
1
Journal of economics and finance : JEF
1
Mathematics and Computers in Simulation (MATCOM)
1
The North American Journal of Economics and Finance
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
17
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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
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:
5
The fiction of full BEKK : pricing fossil fuels and carbon emissions
Chang, Chia-Lin
;
McAleer, Michael
- In:
Finance research letters
28
(
2019
),
pp. 11-19
Persistent link: https://www.econbiz.de/10012384032
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
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:
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
A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu
;
McAleer, Michael
;
Wong, Wing Keung
;
Zhu, Lixing
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 346-358
Persistent link: https://www.econbiz.de/10011938136
Saved in:
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