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person:"McAleer, Michael"
~subject:"Scientific modelling"
~subject:"Stochastic process"
~subject:"Time series analysis"
~subject:"United States"
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Scientific modelling
Stochastic process
Time series analysis
United States
Volatility
325
Volatilität
287
ARCH-Modell
126
ARCH model
125
Estimation
84
Schätzung
84
Stochastischer Prozess
66
Spillover effect
61
Spillover-Effekt
61
Börsenkurs
55
Share price
54
Theorie
54
Theory
54
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53
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52
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52
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Forecasting model
47
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volatility
40
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37
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35
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33
Oil price
32
Futures
28
Hedging
28
Portfolio selection
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Portfolio-Management
28
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25
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English
141
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McAleer, Michael
Gupta, Rangan
74
Bollerslev, Tim
62
Koopman, Siem Jan
61
Andersen, Torben
57
Caporale, Guglielmo Maria
55
Chang, Chia-Lin
47
Asai, Manabu
46
Todorov, Viktor
43
Gil-Alaña, Luis A.
38
Härdle, Wolfgang
38
Lux, Thomas
35
Cui, Zhenyu
34
Bahmani-Oskooee, Mohsen
33
Chan, Joshua
33
Chiarella, Carl
32
Clark, Todd E.
31
Mumtaz, Haroon
31
Diebold, Francis X.
30
Fernández-Villaverde, Jesús
30
Hafner, Christian M.
30
Tauchen, George Eugene
30
Lucas, André
28
Rodriguez, Gabriel
27
Dijk, Dick van
26
Hautsch, Nikolaus
26
Shephard, Neil G.
26
Barndorff-Nielsen, Ole E.
24
Caporin, Massimiliano
24
Escobar, Marcos
24
Yu, Jun
24
Engle, Robert F.
23
Hammoudeh, Shawkat
23
Herwartz, Helmut
23
Ma, Feng
23
Corsi, Fulvio
22
Fouque, Jean-Pierre
22
Ghysels, Eric
22
Rubio-Ramírez, Juan Francisco
22
Marcellino, Massimiliano
21
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University of Canterbury / Dept. of Economics and Finance
5
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Econometric Institute research papers
38
Discussion paper / Tinbergen Institute
26
Working paper
21
Econometric reviews
10
Journal of econometrics
9
Econometrics : open access journal
3
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2
International review of economics & finance : IREF
2
Journal of risk and financial management : JRFM
2
Risks : open access journal
2
The North American journal of economics and finance : a journal of financial economics studies
2
The econometrics journal
2
Applied financial economics
1
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1
Economics letters
1
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1
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1
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1
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1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Tinbergen Institute Discussion Paper 2017-105/III
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ECONIS (ZBW)
141
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61
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010410204
Saved in:
62
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:
63
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices
Allen, David E.
;
Chang, Chia-Lin
;
McAleer, Michael
; …
- In:
Applied economics
50
(
2018
)
7
,
pp. 804-823
Persistent link: https://www.econbiz.de/10011847174
Saved in:
64
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009767006
Saved in:
65
Volatility spillovers from the US to Australia and China across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, R. J.
; …
-
2013
Persistent link: https://www.econbiz.de/10009724110
Saved in:
66
Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724148
Saved in:
67
A fractionally integrated wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724817
Saved in:
68
Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619551
Saved in:
69
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619566
Saved in:
70
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
- In:
Applied economics
49
(
2017
)
31/33
,
pp. 3246-3262
Persistent link: https://www.econbiz.de/10011774739
Saved in:
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