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subject:"Share price"
subject:"Stock index"
~isPartOf:"School of Accounting, Finance and Economics & FEMARC working paper series"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~isPartOf:"The econometrics journal"
~person:"McAleer, Michael"
~subject:"ARCH model"
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Share price
Stock index
ARCH model
Estimation
8
Schätzung
8
Volatility
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Stochastic process
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McAleer, Michael
Allen, David E.
11
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7
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3
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Xuan Vinh Vo
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School of Accounting, Finance and Economics & FEMARC working paper series
The North American journal of economics and finance : a journal of financial economics studies
The econometrics journal
Econometric Institute research papers
21
Working paper
12
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10
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Journal of risk and financial management : JRFM
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ECONIS (ZBW)
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1
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
Saved in:
2
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
3
A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2013
Persistent link: https://www.econbiz.de/10009711717
Saved in:
4
Non-trading day effects in asymmetric conditional and stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 113-123
Persistent link: https://www.econbiz.de/10003451750
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