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~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of forecasting"
~language:"eng"
~person:"Balakrishna, N."
~person:"Dellaportas, Petros"
~person:"McAleer, Michael"
~person:"Speight, Alan E. H."
~subject:"ARCH-Modell"
~type_genre:"Article in journal"
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Balakrishna, N.
Dellaportas, Petros
McAleer, Michael
Speight, Alan E. H.
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12
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ECONIS (ZBW)
10
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1
Importance sampling from posterior distributions using copula-like approximations
Dellaportas, Petros
;
Tsionas, Efthymios G.
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 45-57
Persistent link: https://www.econbiz.de/10012303370
Saved in:
2
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
3
Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?
McMillan, David G.
;
Speight, Alan E. H.
- In:
Journal of forecasting
31
(
2012
)
4
,
pp. 330-343
Persistent link: https://www.econbiz.de/10009576375
Saved in:
4
Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
Chen, Bei
;
Gel, Yulia R.
;
Balakrishna, N.
;
Abraham, Bovas
- In:
Journal of forecasting
30
(
2011
)
1
,
pp. 51-71
Persistent link: https://www.econbiz.de/10009233916
Saved in:
5
Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael
;
Da Veiga, Bernardo
- In:
Journal of forecasting
27
(
2008
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
Saved in:
6
Scalar BEKK and indirect DCC
Caporin, Massimiliano
;
McAleer, Michael
- In:
Journal of forecasting
27
(
2008
)
6
,
pp. 537-549
Persistent link: https://www.econbiz.de/10003761681
Saved in:
7
Gamma stochastic volatility models
Abraham, Bovas
;
Balakrishna, N.
;
Sivakumar, Ranjini
- In:
Journal of forecasting
25
(
2006
)
3
,
pp. 153-171
Persistent link: https://www.econbiz.de/10003318072
Saved in:
8
Daily volatility forecasts : reassessing the performance of GARCH models
McMillan, David G.
;
Speight, Alan E. H.
- In:
Journal of forecasting
23
(
2004
)
6
,
pp. 449-460
Persistent link: https://www.econbiz.de/10002233160
Saved in:
9
Inference for some multivariate ARCH and GARCH models
Vrontos, I. D.
;
Dellaportas, Petros
;
Politis, Dimitris N.
- In:
Journal of forecasting
22
(
2003
)
6/7
,
pp. 427-446
Persistent link: https://www.econbiz.de/10001836432
Saved in:
10
Stationarity and the existence of moments of a family of GARCH processes
Ling, Shiqing
;
McAleer, Michael
- In:
Journal of econometrics
106
(
2002
)
1
,
pp. 109-117
Persistent link: https://www.econbiz.de/10001634306
Saved in:
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