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type_genre:"Collection of articles written by one author"
type_genre:"Hochschulschrift"
~accessRights:"restricted"
~person:"McAleer, Michael"
~subject:"Capital market returns"
~subject:"Innovation"
~subject:"Korrelation"
~subject:"Leverage effects"
~subject:"Mathematische Optimierung"
~subject:"Mexico"
~subject:"Risiko"
~subject:"Stochastic process"
~subject:"Theorie"
~type_genre:"Arbeitspapier"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Graue Literatur"
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Capital market returns
Innovation
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Leverage effects
Mathematische Optimierung
Mexico
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Stochastic process
Theorie
Theory
12
Volatility
10
Volatilität
10
Stochastischer Prozess
7
Time series analysis
5
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5
ARCH model
4
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4
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4
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3
Börsenkurs
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Share price
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leverage
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2
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Long memory
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Multivariate stochastic volatility
2
Agency theory
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Air pollution
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Ankündigungseffekt
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Asset-liability management
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Asymptotic properties
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Bank lending
1
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1
Bankenliquidität
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Basel Accord
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Collection of articles written by one author
Hochschulschrift
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Aufsatz in Zeitschrift
Graue Literatur
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12
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12
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McAleer, Michael
Zenou, Yves
97
Gersbach, Hans
76
Tsionas, Efthymios G.
65
Acemoglu, Daron
63
Gupta, Rangan
56
Cheng, T. C. E.
52
Verdier, Thierry
50
Acharya, Viral V.
46
Inderst, Roman
46
Schmitt-Grohé, Stephanie
45
Laporte, Gilbert
44
Marcellino, Massimiliano
44
Uribe, Martín
44
Wang, Leonard F. S.
44
Dolgui, Alexandre
42
Farhi, Emmanuel
42
Schmitz, Patrick W.
42
Yang, Jinqiang
42
Gendreau, Michel
40
Pestieau, Pierre
40
Thisse, Jacques-François
40
Corsetti, Giancarlo
39
Cremer, Helmuth
39
Redding, Stephen
38
Devereux, Michael B.
36
Saint-Paul, Gilles
36
Stiglitz, Joseph E.
36
Desaulniers, Guy
35
Helpman, Elhanan
35
Ploeg, Frederick van der
35
Coelho, Leandro C.
34
Fabozzi, Frank J.
34
Afonso, Oscar
33
Bertsimas, Dimitris
33
Farmer, Roger E. A.
33
Kumbhakar, Subal
33
Razin, Asaf
33
Vanhoucke, Mario
33
Benigno, Pierpaolo
32
Edmans, Alex
32
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Journal of econometrics
3
Econometric reviews
2
Econometrics : open access journal
2
Applied economics letters
1
Economics letters
1
Finance research letters
1
International journal of economic theory
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
12
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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
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:
5
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:
6
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:
7
A capital adequacy buffer model
Allen, David E.
;
McAleer, Michael
;
Powell, R. J.
; …
- In:
Applied economics letters
23
(
2016
)
1/3
,
pp. 175-179
Persistent link: https://www.econbiz.de/10011414540
Saved in:
8
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:
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
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:
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