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~accessRights:"restricted"
~person:"Lee, Chien-chiang"
~person:"McAleer, Michael"
~person:"Paolella, Marc S."
~subject:"ARCH-Modell"
~subject:"Stochastic process"
~subject:"United States"
~subject:"Welt"
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Search: subject:"conditional heteroskedasticity"
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ARCH-Modell
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32
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28
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14
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Lee, Chien-chiang
McAleer, Michael
Paolella, Marc S.
Ma, Feng
62
Gupta, Rangan
39
Zhang, Yaojie
32
Bouri, Elie
31
Liang, Chao
23
Tiwari, Aviral Kumar
23
Wang, Yudong
22
Wu, Xinyu
20
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19
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17
Wei, Yu
17
Xuan Vinh Vo
16
Hammoudeh, Shawkat
15
Kang, Sang Hoon
15
Lucey, Brian M.
15
Jawadi, Fredj
14
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14
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13
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12
Mensi, Walid
12
Nonejad, Nima
12
Wang, Jiqian
12
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11
Francq, Christian
11
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11
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11
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11
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11
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11
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11
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11
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11
Corbet, Shaen
10
Floros, Christos
10
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10
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10
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10
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3
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3
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3
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3
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2
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2
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1
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1
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1
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1
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1
Real-time forecast of DSGE models with time-varying volatility in GARCH form
Çekin, Semih Emre
;
Ivashchenko, Sergey
;
Gupta, Rangan
; …
- In:
International review of financial analysis
93
(
2024
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014543555
Saved in:
2
International spillovers of U.S. monetary uncertainty and equity market volatility to China's stock markets
Lee, Chi-Chuan
;
Lee, Chien-chiang
- In:
Journal of Asian economics
84
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014248299
Saved in:
3
Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model
Lee, Chien-chiang
;
Lee, Hsiang-Tai
- In:
Global finance journal
55
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014248631
Saved in:
4
Density and risk prediction with non-Gaussian COMFORT models
Paolella, Marc S.
;
Polak, Pawel
- In:
Annals of financial economics
18
(
2023
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014442390
Saved in:
5
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
6
The dynamic correlation between China's policy uncertainty and the crude oil market : a time-varying analysis
Wang, En-Ze
;
Lee, Chien-chiang
- In:
Emerging markets, finance & trade : a journal of the …
58
(
2022
)
3
,
pp. 692-709
Persistent link: https://www.econbiz.de/10012821599
Saved in:
7
GDP volatility implication of tourism volatility in South Africa : a time-varying approach
Lee, Chien-chiang
;
Olasehinde-Williams, Godwin O
; …
- In:
Tourism economics : the business and finance of tourism …
28
(
2022
)
2
,
pp. 435-450
Persistent link: https://www.econbiz.de/10013176781
Saved in:
8
Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
9
Quantile risk spillovers between energy and agricultural commodity markets : evidence from pre and during COVID-19 outbreak
Tiwari, Aviral Kumar
;
Abakah, Emmanuel Joel Aikins
; …
- In:
Energy economics
113
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013540565
Saved in:
10
A regime-switching real-time copula GARCH model for optimal futures hedging
Lee, Hsiang-Tai
;
Lee, Chien-chiang
- In:
International review of financial analysis
84
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013472897
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