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subject:"Innovation"
type_genre:"Sammlung"
~person:"McAleer, Michael"
~person:"Meddahi, Nour"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
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Innovation
Volatility
Theorie
93
Theory
93
Volatilität
31
ARCH model
19
ARCH-Modell
19
Estimation theory
19
Schätztheorie
19
Time series analysis
19
Zeitreihenanalyse
19
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16
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16
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12
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12
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8
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37
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31
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McAleer, Michael
Meddahi, Nour
Gupta, Rangan
22
Malerba, Franco
21
Bollerslev, Tim
20
Antonelli, Cristiano
18
Lambertini, Luca
17
Aghion, Philippe
16
Dosi, Giovanni
16
Andersen, Torben
15
Asai, Manabu
15
Audretsch, David B.
14
Mukherjee, Arijit
14
Chu, Angus C.
13
Denicolò, Vincenzo
13
Wang, Yudong
13
Cozzi, Guido
12
Herwartz, Helmut
12
Renault, Eric
12
Batabyal, Amitrajeet A.
11
Caporin, Massimiliano
11
Westerhoff, Frank H.
11
Aït-Sahalia, Yacine
10
Chan, Joshua
10
Choi, Jay Pil
10
Fouque, Jean-Pierre
10
Ghysels, Eric
10
Mele, Antonio
10
Pierdzioch, Christian
10
Rodriguez, Gabriel
10
Sircar, Kaushik Ronnie
10
Stadler, Manfred
10
Teece, David J.
10
Yu, Jun
10
Zhang, Jie
10
Baumol, William J.
9
Bekaert, Geert
9
Caporale, Guglielmo Maria
9
Escobar, Marcos
9
Hafner, Christian M.
9
Härdle, Wolfgang
9
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Econometric reviews
8
Journal of econometrics
6
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economics letters
2
Econometrics : open access journal
1
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1
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1
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1
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ECONIS (ZBW)
31
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1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
The fiction of full BEKK : pricing fossil fuels and carbon emissions
Chang, Chia-Lin
;
McAleer, Michael
- In:
Finance research letters
28
(
2019
),
pp. 11-19
Persistent link: https://www.econbiz.de/10012384032
Saved in:
3
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:
4
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Econometric theory
33
(
2017
)
4
,
pp. 791-838
Persistent link: https://www.econbiz.de/10011810210
Saved in:
5
The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin
;
McAleer, Michael
- In:
Economics letters
161
(
2017
),
pp. 52-55
Persistent link: https://www.econbiz.de/10011903867
Saved in:
6
A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu
;
McAleer, Michael
;
Wong, Wing Keung
;
Zhu, Lixing
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 346-358
Persistent link: https://www.econbiz.de/10011938136
Saved in:
7
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
8
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
9
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
10
Volatility smirk as an externality of agency conflict and growing debt
Jaskowski, Marcin
;
McAleer, Michael
- In:
International journal of economic theory
11
(
2015
)
4
,
pp. 389-404
Persistent link: https://www.econbiz.de/10011415577
Saved in:
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