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person:"McAleer, Michael"
~isPartOf:"Working paper"
~person:"Lettau, Martin"
~person:"Ma, Feng"
~subject:"Schätzung"
~subject:"United States"
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Search: subject_exact:"Volatility"
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Schätzung
United States
Volatility
40
Volatilität
40
ARCH model
16
ARCH-Modell
16
Estimation
13
Forecasting model
10
Prognoseverfahren
10
Stochastic process
10
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10
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USA
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Oil price
6
Time series analysis
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Ölpreis
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5
Spillover-Effekt
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Capital market returns
4
Kapitalmarktrendite
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Preis
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16
Working Paper
16
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English
16
Author
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McAleer, Michael
Lettau, Martin
Ma, Feng
Mumtaz, Haroon
11
Neely, Christopher J.
8
Guo, Hui
6
Theodoridis, Konstantinos
5
Chang, Chia-Lin
4
Escribano, Álvaro
4
Blazsek, Szabolcs
3
Christiansen, Charlotte
3
Nguyen, Hoang
3
Piger, Jeremy Max
3
Raunig, Burkhard
3
Österholm, Pär
3
Allen, David E.
2
Asai, Manabu
2
Baker, Scott
2
Bloom, Nicholas
2
Davis, Steven J.
2
Erdemlioglu, Deniz
2
Gourier, Elise
2
Hammoudeh, Shawkat
2
Kapetanios, George
2
Karlsson, Sune
2
Kim, Chang-jin
2
Kiss, Tamás
2
Laurent, Sébastien
2
Licht, Adrian
2
Manera, Matteo
2
Owyang, Michael T.
2
Roengchai Tansuchat
2
Savickas, Robert
2
Scharth, Marcel
2
Tripier, Fabien
2
Valenti, Daniele
2
Alessandri, Piergiorgio
1
Allena, David E.
1
Amrama, Ron
1
Asai, Manuabu
1
Ayala, Astrid
1
Baldi, Lucia
1
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University of Canterbury / Dept. of Economics and Finance
5
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Working paper
Econometric Institute research papers
34
Discussion paper / Tinbergen Institute
16
Energy economics
8
NBER working paper series
6
Applied economics
5
Discussion paper / Centre for Economic Policy Research
5
Econometric reviews
5
International review of economics & finance : IREF
4
NBER Working Paper
4
Working paper / National Bureau of Economic Research, Inc.
4
International journal of finance & economics : IJFE
3
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3
Applied economics letters
2
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2
International review of financial analysis
2
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2
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2
School of Accounting, Finance and Economics & FEMARC working paper series
2
The North American journal of economics and finance : a journal of financial economics studies
2
The econometrics journal
2
Applied financial economics
1
China finance review international
1
Econometrics : open access journal
1
Economic modelling
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Financial innovation : FIN
1
Handbook of applied econometrics and statistical inference
1
International journal of forecasting
1
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Journal of forecasting
1
Journal of international financial markets, institutions & money
1
Journal of management science and engineering
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Managerial finance
1
Pacific-Basin finance journal
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The Korean economic review
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ECONIS (ZBW)
16
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1
On the invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410195
Saved in:
2
Asymmetric realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2014
Persistent link: https://www.econbiz.de/10010410196
Saved in:
3
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010410204
Saved in:
4
Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat
;
Liu, Tengdong
;
Chang, Chia-Lin
; …
-
2011
Persistent link: https://www.econbiz.de/10009012018
Saved in:
5
Volatility spillovers from the Chinese stock market to economic neighbours
Allena, David E.
;
Amrama, Ron
;
McAleer, Michael
-
2011
Persistent link: https://www.econbiz.de/10009413631
Saved in:
6
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:
7
Modelling and forecasting noisy realized volatility
Asai, Manuabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
Persistent link: https://www.econbiz.de/10008669930
Saved in:
8
Realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2010
Persistent link: https://www.econbiz.de/10008689075
Saved in:
9
Alternative asymmetric stochastic volatility models
Asai, Manabu
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008760507
Saved in:
10
Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2012
Persistent link: https://www.econbiz.de/10009562958
Saved in:
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