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~language:"eng"
~person:"Bebchuk, Lucian A."
~person:"Chang, Chia-Lin"
~person:"Teräsvirta, Timo"
~subject:"ARCH model"
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Bebchuk, Lucian A.
Chang, Chia-Lin
Teräsvirta, Timo
McAleer, Michael
39
Caporin, Massimiliano
9
Fang, Wen-shwo
8
Miller, Stephen M.
8
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5
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5
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5
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Asai, Manabu
4
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ECONIS (ZBW)
24
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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
The rise and fall of S&P 500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009413649
Saved in:
7
Asymptotic theory for rotated multivariate GARCH models
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
; …
-
2018
Persistent link: https://www.econbiz.de/10011920705
Saved in:
8
An event study of Chinese tourists to Taiwan
Chang, Chia-Lin
;
Hsu, Shu-Han
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011785180
Saved in:
9
Latent volatility granger causality and spillovers in renewable energy and crude oil ETFs
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2018
Persistent link: https://www.econbiz.de/10011863536
Saved in:
10
The correct egularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: June 2017
Persistent link: https://www.econbiz.de/10011668132
Saved in:
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