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~isPartOf:"Working paper"
~person:"Bollerslev, Tim"
~person:"McAleer, Michael"
~subject:"ARCH-Modell"
~subject:"Value-at-Risk (VaR)"
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ARCH-Modell
Value-at-Risk (VaR)
Volatility
40
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40
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20
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15
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Bollerslev, Tim
McAleer, Michael
Chang, Chia-Lin
9
Manera, Matteo
6
Roengchai Tansuchat
5
Chen, Chi-chung
3
Christiansen, Charlotte
3
Guo, Hui
3
Neely, Christopher J.
3
Nicolini, Marcella
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2
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2
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2
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2
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1
Asai, Manabu
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1
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1
Han, Young Wook
1
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1
Javed, Farrukh
1
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1
Khamkaew, Thanchanok
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University of Canterbury / Dept. of Economics and Finance
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Working paper
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43
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31
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6
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ECONIS (ZBW)
20
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date (oldest first)
1
Aggregation, heterogeneous autoregression and
volatility
of daily international tourist arrivals and exchange rates
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669356
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
Asymmetry and leverage in conditional
volatility
models
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410186
Saved in:
4
Volatility
spillovers from Australia's major trading partners across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2014
Persistent link: https://www.econbiz.de/10010410189
Saved in:
5
Is small beautiful? : size effects of
volatility
spillovers for firm performance and exchange rates in tourism
Chang, Chia-Lin
;
Hsu, Hui-kuang
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009701646
Saved in:
6
Model selection and testing of conditional and stochastic
volatility
models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008695598
Saved in:
7
Alternative asymmetric stochastic
volatility
models
Asai, Manabu
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008760507
Saved in:
8
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:
9
On the invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410195
Saved in:
10
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010410204
Saved in:
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