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~institution:"Institute of Economic Research, Kyoto University"
~source:"repec"
~subject:"GJR"
~subject:"Multivariate GARCH"
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GJR
Multivariate GARCH
GARCH
3
Volatility spillovers
3
conditional correlations
3
crude oil prices
3
volatility spillovers
3
EGARCH
2
futures returns
2
multivariate GARCH
2
spot returns
2
ASEAN
1
Chinese stock market
1
Cholesky-GARCH
1
ENSO
1
Greenhouse Gas Emissions
1
HAR
1
International tourist arrivals
1
Markov-switching GARCH
1
Nonlinear time series
1
SOI
1
SOT
1
STAR
1
Time-varying correlations
1
Tourism demand
1
VARMA-AGARCH
1
VARMA-GARCH
1
Volatility
1
approximate long memory
1
asymmetry
1
asymptotic theory
1
conditional correlation
1
daily effects
1
economic development
1
exchange rates
1
forward and futures prices
1
forward returns
1
global financial crisis
1
hedging strategies
1
interdependence
1
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McAleer, Michael
5
Chang, Chia-Lin
4
Tansuchat, Roengchai
3
Chen, Chi-Chung
1
Chu, LanFen
1
Khamkaew, Thanchanok
1
Institution
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Institute of Economic Research, Kyoto University
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
10
Center for Financial Studies
6
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
6
Department of Economics and Finance, College of Business and Economics
5
Econometric Society
5
HAL
5
Institut de Préparation à l'Administration et à la Gestion (IPAG)
5
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
4
Erasmus University Rotterdam, Econometric Institute
4
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
4
School of Economics and Management, University of Aarhus
4
Banco de México
2
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 Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
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
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KIER Working Papers
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1
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:
2
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:
3
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:
4
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin
;
McAleer, Michael
-
Institute of Economic Research, Kyoto University
-
2010
TTourism is a major source of service receipts. The two leading tourism countries for Taiwan are Japan and USA. Daily data from 1/1/1990 to 31/12/2008 are used to model tourist arrivals from the world, USA and Japan to Taiwan, as well as their associated volatility. Inclusion of the exchange...
Persistent link: https://www.econbiz.de/10008489840
Saved in:
5
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:
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