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person:"Rombouts, Jeroen V. K."
~isPartOf:"ERIM report series research in management"
~isPartOf:"Econometric Institute research papers"
~person:"Christoffersen, Peter F."
~person:"McAleer, Michael"
~person:"Zakoïan, Jean-Michel"
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Search: subject_exact:"GARCH model"
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ARCH model
61
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61
Volatility
36
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15
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Time series analysis
13
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Rombouts, Jeroen V. K.
Christoffersen, Peter F.
McAleer, Michael
Zakoïan, Jean-Michel
Chang, Chia-Lin
28
Asai, Manabu
8
Hafner, Christian M.
8
Caporin, Massimiliano
6
Chen, Chi-chung
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Tansuchat, Roengchai
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Allen, David E.
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Herwartz, Helmut
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Chan, Felix
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Chen, Ping-yu
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Dijk, Dick van
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Hammoudeh, Shawkat M.
2
Jimenez-Martin, Juan-Angel
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Lan Fen Chu
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Maasoumi, Esfandiar
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Powell, Robert
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Roengchai Tansuchat
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Singh, Abhay Kumar
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ECONIS (ZBW)
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1
An event study of Chinese tourists to Taiwan
Chang, Chia-Lin
;
Hsu, Shu-Han
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011785180
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
Latent volatility granger causality and spillovers in renewable energy and crude oil ETFs
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2018
Persistent link: https://www.econbiz.de/10011863536
Saved in:
4
Asymptotic theory for rotated multivariate GARCH models
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
; …
-
2018
Persistent link: https://www.econbiz.de/10011920705
Saved in:
5
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
Persistent link: https://www.econbiz.de/10011659228
Saved in:
6
The correct egularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: June 2017
Persistent link: https://www.econbiz.de/10011668132
Saved in:
7
The fiction of full BEKK
Chang, Chia-Lin
;
McAleer, Michael
-
2017
Persistent link: https://www.econbiz.de/10011823320
Saved in:
8
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:
9
Theoretical and empirical differences between diagonal and full BEKK for risk management
Allen, David E.
;
McAleer, Michael
-
2017
Persistent link: https://www.econbiz.de/10011734887
Saved in:
10
Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael
-
2017
-
Revised: September 2017
Persistent link: https://www.econbiz.de/10011734899
Saved in:
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