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~language:"eng"
~language:"ita"
~person:"McAleer, Michael"
~person:"Teräsvirta, Timo"
~person:"Zarangas, Leonidas P."
~subject:"ARCH-Modell"
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ARCH-Modell
Volatility
66
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64
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52
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McAleer, Michael
Teräsvirta, Timo
Zarangas, Leonidas P.
Chang, Chia-Lin
15
Caporin, Massimiliano
9
Fang, Wen-shwo
8
Miller, Stephen M.
8
Weber, Enzo
8
Caporale, Guglielmo Maria
7
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7
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7
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7
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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
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4
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4
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4
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4
Nelson, Daniel B.
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Roengchai Tansuchat
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4
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3
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3
Christoffersen, Peter F.
3
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3
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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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