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~isPartOf:"Tinbergen Institute Discussion Papers"
~isPartOf:"Working paper"
~person:"Clements, Adam"
~person:"Engle, Robert F."
~person:"Kapetanios, George"
~person:"Lahaye, Jérôme"
~person:"McAleer, Michael"
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Search: subject_exact:"Volatility"
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Volatility
50
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48
ARCH model
16
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Stochastic process
12
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48
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Clements, Adam
Engle, Robert F.
Kapetanios, George
Lahaye, Jérôme
McAleer, Michael
Chang, Chia-Lin
16
Neely, Christopher J.
15
Mumtaz, Haroon
14
Manera, Matteo
12
Guo, Hui
9
Raunig, Burkhard
7
Christiansen, Charlotte
6
Nguyen, Hoang
6
Koopman, Siem Jan
5
Mignon, Valérie
5
Roengchai Tansuchat
5
Skiadopoulos, George
5
Theodoridis, Konstantinos
5
Allen, David E.
4
Asai, Manabu
4
Bloom, Nicholas
4
Carnero, M. Angeles
4
Chen, Chi-chung
4
Escribano, Álvaro
4
Hammoudeh, Shawkat
4
Karlsson, Sune
4
Laurent, Sébastien
4
Ooms, Marius
4
Rebucci, Alessandro
4
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4
Wen, Yi
4
Österholm, Pär
4
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3
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3
Behmiri, Niaz Bashiri
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3
Caporin, Massimiliano
3
Davis, Steven J.
3
Erdemlioglu, Deniz
3
Héricourt, Jérôme
3
Medeiros, Marcelo C.
3
Nicolini, Marcella
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9
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72
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53
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3
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ECONIS (ZBW)
48
RePEc
4
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1
Machine news and volatility : the Dow Jones industrial average and the TRNA sentiment series
Allen, David E.
;
McAleer, Michael
;
Singh, Abhay Kumar
-
2014
Persistent link: https://www.econbiz.de/10010242810
Saved in:
2
Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010348324
Saved in:
3
The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
Lahaye, Jérôme
;
Neely, Christopher J.
-
2014
Persistent link: https://www.econbiz.de/10010423538
Saved in:
4
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410186
Saved in:
5
On the invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410195
Saved in:
6
Asymmetric realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2014
Persistent link: https://www.econbiz.de/10010410196
Saved in:
7
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010410204
Saved in:
8
Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10011296515
Saved in:
9
Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis
McAleer, Michael
;
Suen, John
;
Wong, Wing Keung
-
2013
Persistent link: https://www.econbiz.de/10009771105
Saved in:
10
Modeling the effects of oil prices on global fertilizer prices and volatility
Chen, Ping-Yu
;
Chang, Chia-Lin
;
Chen, Chi-chung
; …
-
2013
Persistent link: https://www.econbiz.de/10009701639
Saved in:
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