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~person:"Fethi, Meryem Duygun"
~person:"McAleer, M.J."
~source:"repec"
~subject:"GJR"
~subject:"stock markets"
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GJR
stock markets
GARCH
7
multivariate GARCH
6
volatility spillovers
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conditional correlations
4
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3
asymmetry
3
crude oil prices
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exchange rates
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Fethi, Meryem Duygun
McAleer, M.J.
McAleer, Michael
13
Chang, Chia-Lin
6
Abderraheem, Sadeq
3
Al-Zoubi, Haitham
3
Chang, C-L.
3
Chen, Chi-Chung
3
Chu, LanFen
3
Maghyereh, Aktham
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Abbes, Mouna Boujelbène
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Aslam, Muhammad
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Belke, Ansgar
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Abid, Ilyes
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Abou-Zaid, Ahmed S.
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Al-Khouri, Ritab S.
1
Al-Zeaud, Hussein Ali
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Ardia, David
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Bekiros, Stelios D.
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Erasmus University Rotterdam, Econometric Institute
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Econometric Institute Report
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1
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2010
conditional mean specifications. The QMLE for the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist …
Persistent link: https://www.econbiz.de/10008584742
Saved in:
2
How Volatile is ENSO?
Chu, L.F.
;
McAleer, M.J.
;
Chen, C-C.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a …
Persistent link: https://www.econbiz.de/10005034225
Saved in:
3
Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008570643
Saved in:
4
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008584711
Saved in:
5
Extreme value theory performance in the event of major financial crises
Rossignolo, Adrian F.
;
Fethi, Meryem Duygun
;
Shaban, Mohamed
- In:
International Journal of Banking, Accounting and Finance
4
(
2012
)
2
,
pp. 94-134
Current directives issued by the Basel Committee have established value-at-risk (VaR) as the standard measure to quantify market risk. In view of the wide range of applications and regulatory requirements, the development of accurate techniques becomes a topic of prime importance. VaR should...
Persistent link: https://www.econbiz.de/10010816494
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