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~language:"eng"
~language:"frm"
~person:"Härdle, Wolfgang"
~person:"McAleer, Michael"
~subject:"Stochastic process"
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Stochastic process
Volatility
68
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Härdle, Wolfgang
McAleer, Michael
Mumtaz, Haroon
11
Chiarella, Carl
10
Alòs, Elisa
8
Theodoridis, Konstantinos
8
Yu, Jun
8
Beaudry, Paul
6
Galizia, Dana
6
Portier, Franck
6
Sandal, Leif K.
6
Asai, Manabu
5
Kamihigashi, Takashi
5
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5
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5
Vredeveld, Tjark
5
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4
Govindan, Kannan
4
Hafner, Christian M.
4
León, Jorge A.
4
Nguyen, Hoang
4
Phillips, Peter C. B.
4
Österholm, Pär
4
Ashley, Richard A.
3
Barndorff-Nielsen, Ole E.
3
Bianchi, Michele Leonardo
3
Cai, Yongyang
3
Carriero, Andrea
3
Clark, Todd E.
3
Creemers, Stefan
3
Evstigneev, Igor V.
3
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3
Fattahi, Mohammad
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Gholami, Reza Azad
3
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Hainaut, Donatien
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Haque, Qazi
3
Hayo, Bernd
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3
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University of Canterbury / Dept. of Economics and Finance
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Working paper
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4
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2
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1
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ECONIS (ZBW)
20
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1
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410186
Saved in:
2
On the invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410195
Saved in:
3
A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410197
Saved in:
4
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010410204
Saved in:
5
Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10011296515
Saved in:
6
Block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008688575
Saved in:
7
Investor preferences for oil spot and futures based on mean-variance and stochastic dominance
Hooi Hooi Lean
;
McAleer, Michael
;
Wong, Wing Keung
-
2010
Persistent link: https://www.econbiz.de/10008688580
Saved in:
8
Asymmetry and long memory in volatility modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008695596
Saved in:
9
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:
10
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:
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