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source:"edz"
~person:"McAleer, Michael"
~source:"econis"
~subject:"Forecasting model"
~type_genre:"Arbeitspapier"
~type_genre:"Conference paper"
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Search: subject_exact:"ARCH-Modell"
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Forecasting model
ARCH model
129
ARCH-Modell
129
Volatility
75
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74
Time series analysis
33
Zeitreihenanalyse
33
Estimation
28
Schätzung
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Theorie
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Spillover-Effekt
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Multivariate Analyse
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asymmetry
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asymptotic properties
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McAleer, Michael
Gupta, Rangan
24
Caporin, Massimiliano
11
Ravazzolo, Francesco
8
Paolella, Marc S.
7
Salisu, Afees A.
7
Barigozzi, Matteo
6
Bouri, Elie
6
Lux, Thomas
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Pérez Amaral, Teodosio
6
Audrino, Francesco
5
Chang, Chia-Lin
5
Hallin, Marc
5
Mittnik, Stefan
5
Trojani, Fabio
5
Capasso, Marco
4
Chlebus, Marcin
4
Clements, Adam
4
Ogbonna, Ahamuefula Ephraim
4
Pierdzioch, Christian
4
Xu, Yongdeng
4
Ñíguez, Trino-Manuel
4
Alessi, Lucia
3
Andersen, Torben
3
Bollerslev, Tim
3
Chen Zhou
3
Christoffersen, Peter F.
3
Diebold, Francis X.
3
Dijk, Herman K. van
3
Ghysels, Eric
3
Giacomini, Raffaella
3
Hansen, Peter Reinhard
3
Hol Uspensky, Eugenie
3
Hoogerheide, Lennart
3
Huurman, Christian
3
Jimenez-Martin, Juan-Angel
3
Jiménez-Martín, Juan-Ángel
3
Karmakar, Sayar
3
Koopman, Siem Jan
3
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University of Canterbury / Dept. of Economics and Finance
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Econometric Institute research papers
10
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6
School of Accounting, Finance and Economics & FEMARC working paper series
1
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ArchiDok
ECONIS (ZBW)
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1
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
2
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
3
Robust ranking of multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619553
Saved in:
4
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619346
Saved in:
5
Ranking multivariate GARCH models by problem dimension: an empirical evaluation
Caporin, Massimiliano
;
McAleer, Michael
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619365
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
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008664052
Saved in:
8
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008695598
Saved in:
9
Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987333
Saved in:
10
Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987665
Saved in:
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