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~language:"eng"
~language:"ita"
~person:"Engle, Robert F."
~person:"McAleer, Michael"
~person:"Teräsvirta, Timo"
~subject:"ARCH-Modell"
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ARCH-Modell
Volatility
64
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62
ARCH model
52
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45
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42
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42
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Engle, Robert F.
McAleer, Michael
Teräsvirta, Timo
Chang, Chia-Lin
15
Caporin, Massimiliano
9
Fang, Wen-shwo
8
Miller, Stephen M.
8
Weber, Enzo
8
Caporale, Guglielmo Maria
7
Conrad, Christian
7
Rombouts, Jeroen V. K.
7
Stavroyiannis, Stavros
7
Andersen, Torben
6
Bauwens, Luc
6
Silvennoinen, Annastiina
6
Xu, Yongdeng
6
Allen, David E.
5
Gupta, Rangan
5
Hafner, Christian M.
5
Mittnik, Stefan
5
Pelloni, Gianluigi
5
Polasek, Wolfgang
5
Asai, Manabu
4
Bollerslev, Tim
4
Chen, Chi-chung
4
Haas, Markus
4
Karanasos, Menelaos
4
Moore, Tomoe
4
Nelson, Daniel B.
4
Roengchai Tansuchat
4
Serletis, Apostolos
4
Shephard, Neil G.
4
Zarangas, Leonidas P.
4
Billio, Monica
3
Canarella, Giorgio
3
Christoffersen, Peter F.
3
Dhaene, Geert
3
Diebold, Francis X.
3
Frattarolo, Lorenzo
3
Guo, Hui
3
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University of Canterbury / Dept. of Economics and Finance
6
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2
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1
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1
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Working paper
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5
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2
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Tourism economics : the business and finance of tourism and recreation
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ECONIS (ZBW)
52
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Models with multiplicative decomposition of conditional variances and correlations
Amado, Cristina
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2018
Persistent link: https://www.econbiz.de/10011864902
Saved in:
4
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
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
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:
7
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410186
Saved in:
8
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:
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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