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person:"McAleer, Michael"
~isPartOf:"Econometric Institute research papers"
~person:"Dijk, Dick van"
~subject:"Capital income"
~subject:"Scientific modelling"
~subject:"United States"
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Capital income
Scientific modelling
United States
Volatility
76
Volatilität
76
ARCH model
37
ARCH-Modell
37
USA
23
Estimation
22
Schätzung
22
Spillover effect
21
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Capital market returns
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McAleer, Michael
Dijk, Dick van
Chang, Chia-Lin
17
Asai, Manabu
9
Medeiros, Marcelo C.
4
Caporin, Massimiliano
3
Hsieh, Tai-Lin
3
Tansuchat, Roengchai
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2
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2
Roengchai Tansuchat
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1
Bannouh, Karim
1
Gupta, Rangan
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1
Hsu, Hui-Kuang
1
Ilomäki, Jukka
1
Ishida, Isao
1
Jimenez-Martin, Juan-Angel
1
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1
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1
Malik, Farooq
1
Martens, Martin
1
Oya, Kosuke
1
Powell, Robert
1
Pérez Amaral, Teodosio
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Radalj, Kim
1
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1
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1
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23
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19
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6
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3
Journal of econometrics
3
Journal of risk and financial management : JRFM
3
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2
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2
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2
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The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures
Asai, Manabu
;
Gupta, Rangan
;
McAleer, Michael
-
2019
Persistent link: https://www.econbiz.de/10011986953
Saved in:
2
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011823293
Saved in:
3
Long run returns predictability and volatility with moving averages
Chang, Chia-Lin
;
Ilomäki, Jukka
;
Laurila, Hannu
; …
-
2018
Persistent link: https://www.econbiz.de/10011920696
Saved in:
4
Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2018
-
Revised: September 2018
Persistent link: https://www.econbiz.de/10011920700
Saved in:
5
Connecting VIX and stock index ETF
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2017
-
Revised: January 2017
Persistent link: https://www.econbiz.de/10011823316
Saved in:
6
Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin
;
McAleer, Michael
;
Zuo, Guangdong
-
2017
-
Revised: May 2017
Persistent link: https://www.econbiz.de/10011965722
Saved in:
7
Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin
;
McAleer, Michael
;
Tian, Jiarong
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541151
Saved in:
8
Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yanghuiting
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500276
Saved in:
9
An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Chien-Hsun
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500282
Saved in:
10
How are VIX and stock index ETF related?
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011447222
Saved in:
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