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person:"McAleer, Michael"
~isPartOf:"Accounting and finance : journal of the Accounting Association of Australia and New Zealand"
~isPartOf:"Econometric reviews"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"Nonejad, Nima"
~subject:"ARCH model"
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Search: subject_exact:"Volatility"
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ARCH model
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McAleer, Michael
Nonejad, Nima
Kang, Sang Hoon
5
Mensi, Walid
5
Wu, Xinyu
4
Chang, Chia-Lin
3
Gupta, Rangan
3
Qiao, Gaoxiu
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Teräsvirta, Timo
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Al-Jarrah, Idries Mohammad Wanas
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Al-Yahyaee, Khamis Hamed
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Kok Haur Ng
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Xuan Vinh Vo
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1
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Accounting and finance : journal of the Accounting Association of Australia and New Zealand
Econometric reviews
The North American journal of economics and finance : a journal of financial economics studies
Econometric Institute research papers
36
Discussion paper / Tinbergen Institute
21
Working paper
16
Energy economics
4
Econometrics : open access journal
3
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3
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1
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1
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
International Journal of Financial Studies : open access journal
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International journal of forecasting
1
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1
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1
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1
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Quantifying consumer preferences
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Risks : open access journal
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TI 2017-038/III Tinbergen Institute Discussion Paper
1
The European journal of finance
1
The Korean economic review
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Tinbergen Institute Discussion Paper 2018-052/III
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ECONIS (ZBW)
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1
Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility
Nonejad, Nima
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013534202
Saved in:
2
Forecasting aggregate equity return volatility using crude oil price volatility : The role of nonlinearities and asymmetries
Nonejad, Nima
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012203664
Saved in:
3
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:
4
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
Saved in:
5
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
6
Is small beautiful? : size effects of volatility spillovers for firm performance and exchange rates in tourism
Chang, Chia-Lin
;
Hsu, Hui-kuang
;
McAleer, Michael
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 519-534
Persistent link: https://www.econbiz.de/10010367563
Saved in:
7
It pays to violate : how effective are the Basel accord penalties in encouraging risk management?
Da Veiga, Bernardo
;
Chan, Felix
;
McAleer, Michael
- In:
Accounting and finance : journal of the Accounting …
52
(
2012
)
1
,
pp. 95-116
Persistent link: https://www.econbiz.de/10009512724
Saved in:
8
Alternative asymmetric stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
30
(
2011
)
5
,
pp. 548-564
Persistent link: https://www.econbiz.de/10009130226
Saved in:
9
Structure and asymptotic theory for multivariate asymmetric conditional volatility
McAleer, Michael
;
Hoti, Suhejla
;
Chan, Felix
- In:
Econometric reviews
28
(
2009
)
5
,
pp. 422-440
Persistent link: https://www.econbiz.de/10003873066
Saved in:
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