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~institution:"Banco de México"
~institution:"Institute of Economic Research, Kyoto University"
~source:"repec"
~subject:"Multivariate GARCH"
~subject:"Option implied volatility"
~subject:"SOT"
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Multivariate GARCH
Option implied volatility
SOT
GARCH
4
Volatility spillovers
3
conditional correlations
3
crude oil prices
3
volatility spillovers
3
EGARCH
2
GJR
2
futures returns
2
multivariate GARCH
2
spot returns
2
ASEAN
1
Chinese stock market
1
Cholesky-GARCH
1
Composite Forecasts
1
Composite forecast models
1
ENSO
1
Exchange rates
1
Forecast Evaluation
1
Greenhouse Gas Emissions
1
HAR
1
Implied volatility
1
International tourist arrivals
1
Markov-switching GARCH
1
Mexican Peso-U.S. Dollar Exchange Rate
1
Nonlinear time series
1
Regime-Switching
1
SOI
1
STAR
1
Time-varying correlations
1
Tourism demand
1
VARMA-AGARCH
1
VARMA-GARCH
1
Volatility
1
Volatility forecasting
1
Volatility transmission
1
agricultural commodities
1
approximate long memory
1
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6
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4
English
2
Author
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McAleer, Michael
4
Chang, Chia-Lin
3
Tansuchat, Roengchai
3
Benavides, Guillermo
1
Chen, Chi-Chung
1
Chu, LanFen
1
Hernández, Manuel A.
1
Ibarra-Ramírez, Raúl
1
Khamkaew, Thanchanok
1
Trupkin, Danilo R.
1
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Banco de México
Institute of Economic Research, Kyoto University
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
10
Center for Financial Studies
6
Econometric Society
5
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
5
HAL
5
Institut de Préparation à l'Administration et à la Gestion (IPAG)
5
Department of Economics and Finance, College of Business and Economics
4
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
4
School of Economics and Management, University of Aarhus
4
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
2
EconWPA
2
Instituto Valenciano de Investigaciones Económicas (IVIE)
2
Nationalekonomiska institutionen, Stockholms Universitet
2
İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
2
Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
1
BANCO DE LA REPÚBLICA
1
Banca d'Italia
1
Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
1
Centro Ricerche Nord Sud (CRENoS)
1
Departamento de Economía, Universidad Carlos III de Madrid
1
Departamento de Estadistica, Universidad Carlos III de Madrid
1
Department of Accounting, Finance and Economics, Griffith Business School
1
Department of Economics and Related Studies, University of York
1
Department of Economics, Auburn University
1
Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe
1
Department of Economics, National University of Singapore
1
Department of Economics, University of California-Riverside
1
Department of Economics, University of Victoria
1
Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova
1
Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia
1
Dipartimento di Scienze Economiche e Statistiche (DISES), Università degli Studi di Salerno
1
Dipartimento di Statistica, Università degli Studi di Milano-Bicocca
1
Départment des sciences administratives, Université du Québec en Outaouais (UQO)
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
Economics Department, Ben Gurion University of the Negev
1
Economics Department, University of Strathclyde
1
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
1
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
1
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KIER Working Papers
4
Working Papers / Banco de México
2
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RePEc
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1
How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets
Hernández, Manuel A.
;
Ibarra-Ramírez, Raúl
;
Trupkin, …
-
Banco de México
-
2011
follow a multivariate
GARCH
approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn …
Persistent link: https://www.econbiz.de/10009644839
Saved in:
2
Crude Oil Hedging Strategies Using Dynamic Multivariate
GARCH
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
Institute of Economic Research, Kyoto University
-
2010
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-
GARCH
, DCC, BEKK and … CCC and VARMA-
GARCH
suggest holding crude oil spot to futures. In addition, the calculated optimal hedge ratios (OHRs …
Persistent link: https://www.econbiz.de/10008751339
Saved in:
3
Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
Institute of Economic Research, Kyoto University
-
2010
index returns, are analysed using the CCC model of Bollerslev (1990), VARMA-
GARCH
model of Ling and McAleer (2003), VARMA … supported empirically. Surprisingly, the empirical results from the VARMA-
GARCH
and VARMA-AGARCH models provide little evidence … positive shocks of equal magnitude on the conditional variances suggests that VARMA-AGARCH is superior to VARMA-
GARCH
and CCC. …
Persistent link: https://www.econbiz.de/10008490236
Saved in:
4
How Volatile is ENSO?
Chu, LanFen
;
McAleer, Michael
;
Chen, Chi-Chung
-
Institute of Economic Research, Kyoto University
-
2010
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10008677573
Saved in:
5
Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
; …
-
Institute of Economic Research, Kyoto University
-
2010
, Japan and Singapore. The analysis is conducted using several alternative multivariate
GARCH
models. The empirical results … the VARMA-
GARCH
model and the VARMA-AGARCH model suggest the presence of volatility spillovers and asymmetric effects of …
Persistent link: https://www.econbiz.de/10008642392
Saved in:
6
Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of
Garch
, Option Implied and Composite Forecast Models
Benavides, Guillermo
-
Banco de México
-
2006
Mexican peso - US Dollar exchange rate. The models applied are univariate
GARCH
, a multi-variate
GARCH
(the BEKK model …
Persistent link: https://www.econbiz.de/10004967922
Saved in:
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