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~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Nota di lavoro / Fondazione Eni Enrico Mattei"
~person:"Ghysels, Eric"
~person:"McAleer, Michael"
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Search: subject:"conditional heteroskedasticity"
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Ghysels, Eric
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International review of economics & finance : IREF
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Nota di lavoro / Fondazione Eni Enrico Mattei
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59
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ECONIS (ZBW)
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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
Saved in:
2
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
3
Volatility spillovers from Australia's major trading partners across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
- In:
International review of economics & finance : IREF
47
(
2017
),
pp. 159-175
Persistent link: https://www.econbiz.de/10011740133
Saved in:
4
Special issue on "Multivariate volatility models"
Garcia, René
(
contributor
);
Ghysels, Eric
(
contributor
); …
-
2009
Persistent link: https://www.econbiz.de/10003907531
Saved in:
5
Dynamic asymmetric GARCH
Caporin, Massimiliano
;
McAleer, Michael
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
3
,
pp. 385-412
Persistent link: https://www.econbiz.de/10003354083
Saved in:
6
Modelling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro
;
Manera, Matteo
;
McAleer, Michael
-
2004
Persistent link: https://www.econbiz.de/10002127352
Saved in:
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