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person:"McAleer, Michael"
~isPartOf:"Working paper"
~person:"Wei, Xiaopeng"
~subject:"Capital market returns"
~subject:"Commodity derivative"
~subject:"Forecasting model"
~subject:"Hedging"
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Search: subject_exact:"Volatility"
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Capital market returns
Commodity derivative
Forecasting model
Hedging
Volatility
41
Volatilität
41
ARCH model
16
ARCH-Modell
16
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13
Schätzung
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10
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5
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4
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McAleer, Michael
Wei, Xiaopeng
Chang, Chia-Lin
7
Manera, Matteo
6
Roengchai Tansuchat
5
Guo, Hui
4
Behmiri, Niaz Bashiri
3
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3
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3
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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
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2
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2
Österholm, Pär
2
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1
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1
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1
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University of Canterbury / Dept. of Economics and Finance
5
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Working paper
Econometric Institute research papers
42
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25
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3
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3
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3
The North American journal of economics and finance : a journal of financial economics studies
3
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TI 2017-038/III Tinbergen Institute Discussion Paper
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Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
1
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The journal of futures markets
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Tinbergen Institute Discussion Paper 2018-005/III
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ECONIS (ZBW)
22
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22
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date (oldest first)
1
Does the tail wag the dog? : evidence from fund flow to VIX ETFs and ETNs
Białkowski, Je̜drzej
;
Dang, Huong
;
Wei, Xiaopeng
-
2017
Persistent link: https://www.econbiz.de/10011886575
Saved in:
2
On the invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410195
Saved in:
3
Asymmetric realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2014
Persistent link: https://www.econbiz.de/10010410196
Saved in:
4
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010410204
Saved in:
5
Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10011296515
Saved in:
6
Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009787937
Saved in:
7
Risk management and financial derivatives : an overview
Hammoudeh, Shawkat
;
McAleer, Michael
-
2012
Persistent link: https://www.econbiz.de/10009562953
Saved in:
8
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:
9
Modelling and forecasting noisy realized volatility
Asai, Manuabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
Persistent link: https://www.econbiz.de/10008669930
Saved in:
10
Realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2010
Persistent link: https://www.econbiz.de/10008689075
Saved in:
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