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person:"McAleer, Michael"
~isPartOf:"Working paper"
~person:"Kundu, Srikanta"
~subject:"Capital market returns"
~subject:"Scientific modelling"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Capital market returns
Scientific modelling
Stochastischer Prozess
Volatility
41
Volatilität
41
ARCH model
16
ARCH-Modell
16
Estimation
13
Schätzung
13
Capital income
10
Forecasting model
10
Kapitaleinkommen
10
Prognoseverfahren
10
Stochastic process
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Theorie
9
Theory
9
Welt
9
World
9
Börsenkurs
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Risikomaß
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Risk measure
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Share price
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Commodity derivative
7
Modellierung
7
Portfolio selection
7
Portfolio-Management
7
Rohstoffderivat
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USA
7
United States
7
Oil price
6
Time series analysis
6
Zeitreihenanalyse
6
Ölpreis
6
Kapitalmarktrendite
5
Spillover effect
5
Spillover-Effekt
5
Preis
4
Price
4
Derivat
3
Derivative
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Graue Literatur
17
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17
Working Paper
17
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English
17
Author
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McAleer, Michael
Kundu, Srikanta
Mumtaz, Haroon
10
Asai, Manabu
4
Nguyen, Hoang
4
Theodoridis, Konstantinos
4
Österholm, Pär
4
Caporin, Massimiliano
3
Chang, Chia-Lin
3
Karlsson, Sune
3
Kapetanios, George
2
Kiss, Tamás
2
Yu, Jun
2
Alessandri, Piergiorgio
1
Allen, David E.
1
Berger, Helge
1
Białkowski, Je̜drzej
1
Carriero, Andrea
1
Chen, Han
1
Chiu, Ching Wai Jeremy
1
Cipollini, Andrea
1
Clark, Todd E.
1
Craig, Ben R.
1
Dang, Huong
1
Edvinsson, Rodney
1
Fei, Yijie
1
Hafner, Christian M.
1
Hammoudeh, Shawkat
1
Huang, Jian
1
Ishida, Isao
1
Jimenez-Martin, Juan-Angel
1
Keller, Joachim G.
1
Kobayashi, Masahito
1
Lui, Silvia S. W.
1
Marcellino, Massimiliano
1
Martinet, Guillaume Gaetan
1
Mazur, Stepan
1
Medeiros, Marcelo C.
1
Minh-Ngoc Tran
1
Mumtazy, Haroon
1
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University of Canterbury / Dept. of Economics and Finance
4
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Working paper
Econometric Institute research papers
29
Discussion paper / Tinbergen Institute
24
Econometric reviews
9
Journal of econometrics
6
Econometrics : open access journal
3
International review of economics & finance : IREF
2
Journal of risk and financial management : JRFM
2
Risks : open access journal
2
The econometrics journal
2
Applied economics
1
Computational economics
1
Economics letters
1
Finance research letters
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of travel research : a quarterly publication of the Travel and Tourism Research Association
1
Managerial finance
1
School of Accounting, Finance and Economics & FEMARC working paper series
1
TI 2017-038/III Tinbergen Institute Discussion Paper
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of futures markets
1
Tinbergen Institute Discussion Paper 2017-105/III
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Tinbergen Institute Discussion Paper 2018-005/III
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ECONIS (ZBW)
17
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1
Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics
Kundu, Srikanta
;
Paul, Amartya
-
2021
Persistent link: https://www.econbiz.de/10013365985
Saved in:
2
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410186
Saved in:
3
On the invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410195
Saved in:
4
Asymmetric realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2014
Persistent link: https://www.econbiz.de/10010410196
Saved in:
5
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010410204
Saved in:
6
Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10011296515
Saved in:
7
The rise and fall of S&P 500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009413649
Saved in:
8
Block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008688575
Saved in:
9
Asymmetry and long memory in volatility modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008695596
Saved in:
10
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008695598
Saved in:
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