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person:"McAleer, Michael"
~isPartOf:"Annals of financial economics"
~isPartOf:"Econometric Institute research papers"
~isPartOf:"Econometric reviews"
~isPartOf:"Energy economics"
~isPartOf:"Finance research letters"
~person:"Chevallier, Julien"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Zeitreihenanalyse
Volatility
99
Volatilität
99
ARCH model
47
ARCH-Modell
47
Estimation
28
Schätzung
28
USA
27
United States
27
Spillover effect
22
Spillover-Effekt
22
Capital market returns
19
Kapitalmarktrendite
19
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18
Rohstoffderivat
18
Stochastic process
18
Stochastischer Prozess
18
Börsenkurs
16
Oil price
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Capital income
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Forecasting model
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Kapitaleinkommen
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Prognoseverfahren
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Theorie
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Theory
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Time series analysis
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Spotmarkt
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Welt
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Futures
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McAleer, Michael
Chevallier, Julien
Gupta, Rangan
5
Cavaliere, Giuseppe
3
Chang, Chia-Lin
3
Hammoudeh, Shawkat
3
Ji, Qiang
3
Klein, Tony
3
Ma, Feng
3
Taylor, Robert
3
Teräsvirta, Timo
3
Tiwari, Aviral Kumar
3
Wang, Yudong
3
Wohar, Mark E.
3
Yoon, Seong-min
3
Al-Yahyaee, Khamis Hamed
2
Allen, David E.
2
Asai, Manabu
2
Aye, Goodness C.
2
Balcilar, Mehmet
2
Cajueiro, Daniel Oliveira
2
Caporale, Guglielmo Maria
2
Dijk, Dick van
2
Gil-Alaña, Luis A.
2
Hong, Yongmiao
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2
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2
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2
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2
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2
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2
Qu, Hui
2
Roengchai Tansuchat
2
Sensoy, Ahmet
2
Singh, Abhay Kumar
2
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2
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2
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Annals of financial economics
Econometric Institute research papers
Econometric reviews
Energy economics
Finance research letters
Discussion paper / Tinbergen Institute
12
Working paper
6
Journal of econometrics
4
Applied economics
2
International review of economics & finance : IREF
2
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1
Econometrics : open access journal
1
Economics letters
1
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1
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1
The North American journal of economics and finance : a journal of financial economics studies
1
The econometrics journal
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Tinbergen Institute Discussion Paper 2017-105/III
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1
Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian
;
Huang, Yisu
;
Ma, Feng
;
Chevallier, Julien
- In:
Energy economics
91
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
Saved in:
2
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:
3
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui
;
Kobayashi, Masahito
;
McAleer, Michael
-
2016
-
Revised
Persistent link: https://www.econbiz.de/10011448006
Saved in:
4
Multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2015
Persistent link: https://www.econbiz.de/10011432589
Saved in:
5
Frontiers in time series and financial econometrics : an overview
Ling, Shiqing
;
McAleer, Michael
;
Tong, Howell
-
2015
Persistent link: https://www.econbiz.de/10011346240
Saved in:
6
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2015
Persistent link: https://www.econbiz.de/10010507684
Saved in:
7
Discussion of "principal volatility component analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010359780
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
Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987324
Saved in:
10
Conditional correlations and volatility spillovers between crude oil and stock index returns
Tansuchat, Roengchai
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987330
Saved in:
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