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~institution:"University of Canterbury / Dept. of Economics and Finance"
~language:"eng"
~language:"fra"
~language:"vie"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
~type_genre:"Conference proceedings"
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Volatility
Zeitreihenanalyse
Volatilität
11
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10
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8
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8
Estimation
7
Forecasting model
7
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McAleer, Michael
13
Chang, Chia-Lin
4
Caporin, Massimiliano
3
Chen, Chi-chung
2
Hammoudeh, Shawkat
2
Oxley, Les
2
Roengchai Tansuchat
2
Asai, Manabu
1
Białkowski, Je̜drzej
1
Chen, Ping-yu
1
Etebari, Ahmad
1
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1
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1
Ishida, Isao
1
Khamkaew, Thanchanok
1
Lan Fen Chu
1
Malik, Farooq
1
Medeiros, Marcelo C.
1
Oya, Kosuke
1
Rea, Alethea
1
Rea, William
1
Reale, Marco
1
Scarrott, Carl
1
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1
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1
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University of Canterbury / Dept. of Economics and Finance
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
85
Ekonomiska forskningsinstitutet <Stockholm>
46
National Bureau of Economic Research
38
European University Institute / Department of Economics
37
Centre for Analytical Finance <Århus>
24
Federal Reserve Bank of St. Louis
24
Econometrisch Instituut <Rotterdam>
18
Institut für Weltwirtschaft
14
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Svenska Handelshögskolan <Helsinki>
13
Escola de Pós-Graduação em Economia <Rio de Janeiro>
12
European University Institute / Department of Law
11
Federal Reserve Bank of New York
11
University of Cambridge / Department of Applied Economics
11
Centre for Growth and Business Cycle Research <Manchester>
10
Chambre de commerce et d'industrie de Paris
10
International Monetary Fund
10
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
9
London School of Economics and Political Science
9
Center for Economic Research <Tilburg>
8
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
8
Rodney L. White Center for Financial Research
8
School of Finance and Business Economics <Perth, Western Australia>
8
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8
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8
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7
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7
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7
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7
William Davidson Institute <Ann Arbor, Mich.>
7
Federal Reserve Bank of San Francisco
6
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6
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6
Queen Mary College / Department of Economics
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1
A comparison of spillover effects before, during and after the 2008 financial crisis
Rea, Alethea
;
Rea, William
;
Reale, Marco
;
Scarrott, Carl
-
2012
Persistent link: https://www.econbiz.de/10009562986
Saved in:
2
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
Saved in:
3
Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2012
Persistent link: https://www.econbiz.de/10009562958
Saved in:
4
Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
2011
-
1. version, rev.
Persistent link: https://www.econbiz.de/10009012211
Saved in:
5
Ranking multivariate GARCH models by problem dimension : an empirical evaluation
Caporin, Massimiliano
;
McAleer, Michael
-
2011
Persistent link: https://www.econbiz.de/10009412785
Saved in:
6
Cliometrics and time series econometrics : some theory and applications
Greasley, David
;
Oxley, Les
-
2010
Persistent link: https://www.econbiz.de/10008695600
Saved in:
7
Combining non-replicable forecasts
Chang, Chia-Lin
;
Franses, Philip Hans
;
McAleer, Michael
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008689066
Saved in:
8
Exchange rate and industrial commodity volatility transmissions, asymmetries and hedging strategies
Hammoudeh, Shawkat
;
Yuan, Yuan
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008689068
Saved in:
9
Forecasting realized volatility with linear and nonlinear univariate models
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
Persistent link: https://www.econbiz.de/10008689073
Saved in:
10
How volatile is ENSO?
Lan Fen Chu
;
McAleer, Michael
;
Chen, Chi-chung
-
2010
Persistent link: https://www.econbiz.de/10008689070
Saved in:
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