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person:"McAleer, Michael"
~isPartOf:"Annals of financial economics"
~isPartOf:"Econometric reviews"
~isPartOf:"Energy economics"
~isPartOf:"Mathematics and Computers in Simulation (MATCOM)"
~person:"Chevallier, Julien"
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Search: subject_exact:"Volatility"
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Volatility
27
Volatilität
24
ARCH model
9
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8
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8
Commodity derivative
7
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7
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McAleer, Michael
Chevallier, Julien
Ma, Feng
20
Hammoudeh, Shawkat
18
Tiwari, Aviral Kumar
18
Gupta, Rangan
15
Bouri, Elie
14
Wang, Yudong
13
Ji, Qiang
11
Demirer, Rıza
9
Kang, Sang Hoon
9
Wei, Yu
9
Yoon, Seong-min
9
Shahzad, Syed Jawad Hussain
8
Uddin, Mohammed Gazi Salah
8
Wen, Fenghua
8
Lin, Boqiang
7
Mensi, Walid
7
Sadorsky, Perry A.
7
Asai, Manabu
6
Dai, Zhifeng
6
Do, Hung Xuan
6
Lucey, Brian M.
6
Maasoumi, Esfandiar
6
Roubaud, David
6
Wohar, Mark E.
6
Zhang, Yaojie
6
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5
Chang, Chia-Lin
5
Filis, George
5
Gong, Xu
5
Hasanov, Akram Shavkatovich
5
Liang, Chao
5
Liu, Bing-Yue
5
Naeem, Muhammad Abubakr
5
Nguyen, Duc Khuong
5
Sitara Karim
5
Soytaş, Uǧur
5
Wang, Jiqian
5
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5
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Annals of financial economics
Econometric reviews
Energy economics
Mathematics and Computers in Simulation (MATCOM)
Econometric Institute research papers
72
Discussion paper / Tinbergen Institute
53
Working paper
41
Econometric Institute Research Papers
11
Working Papers in Economics
11
KIER Working Papers
10
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10
Journal of econometrics
9
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7
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6
The North American journal of economics and finance : a journal of financial economics studies
6
Research in international business and finance
5
International review of economics & finance : IREF
4
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4
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3
Applied economics letters
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3
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3
Finance research letters
3
Journal of Risk and Financial Management
3
School of Accounting, Finance and Economics & FEMARC working paper series
3
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
3
The North American Journal of Economics and Finance
3
Working papers / School of Business, Edith Cowan University
3
Economics Papers from University Paris Dauphine
2
Economics letters
2
International journal of forecasting
2
International review of financial analysis
2
Journal of economic surveys
2
Managerial finance
2
Risks : open access journal
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The econometrics journal
2
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
2
Tourism economics : the business and finance of tourism and recreation
2
"Marco Fanno" Working Papers
1
Accounting and finance : journal of the Accounting Association of Australia and New Zealand
1
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ECONIS (ZBW)
24
RePEc
3
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1
Which exogenous driver is informative in forecasting European carbon volatility : bond, commodity, stock or uncertainty?
Wang, Jiqian
;
Guo, Xiaozhu
;
Tan, Xueping
;
Chevallier, Julien
- In:
Energy economics
117
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014437106
Saved in:
2
Pricing carbon emissions in China
Chang, Chia-Lin
;
Mai, Te-Ke
;
McAleer, Michael
- In:
Annals of financial economics
13
(
2018
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011958479
Saved in:
3
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian
;
Chevallier, Julien
;
Zhu, Bangzhu
- In:
Energy economics
85
(
2020
),
pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
Saved in:
4
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:
5
Volatility spillovers for spot, futures, and ETF prices in agriculture and energy
Chang, Chia-Lin
;
Liu, Chia-Ping
;
McAleer, Michael
- In:
Energy economics
81
(
2019
),
pp. 779-792
Persistent link: https://www.econbiz.de/10012172983
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
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:
8
The impact of jumps and leverage in forecasting covolatility
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 638-650
Persistent link: https://www.econbiz.de/10011795307
Saved in:
9
"De-financialization" of commodities? : evidence from stock, crude oil and natural gas markets
Zhang, Yue-jun
;
Chevallier, Julien
;
Guesmi, Khaled
- In:
Energy economics
68
(
2017
),
pp. 228-239
Persistent link: https://www.econbiz.de/10011905697
Saved in:
10
Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat
;
Liu, Tengdong
;
Chang, Chia-Lin
; …
- In:
Energy economics
36
(
2013
),
pp. 526-535
Persistent link: https://www.econbiz.de/10009724647
Saved in:
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