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  • Search: subject:"Conditional volatility models"
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Year of publication
Subject
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asymmetry 20 conditional volatility models 19 leverage 16 Conditional volatility models 11 Volatility 11 Volatilität 11 Tourism 9 random coefficient complex nonlinear moving average process 9 ARCH model 7 ARCH-Modell 7 Conditional Volatility Models 7 Time series analysis 7 Zeitreihenanalyse 7 random coefficient autoregressive processes 7 Asymmetry 6 firm size 6 volatility size effects 6 DJIA 5 Sentiment Scores 5 TRNA 5 Theorie 5 Theory 5 stock returns 5 Börsenkurs 4 Firm size 4 Share price 4 Stochastic process 4 Stochastischer Prozess 4 joining the WTO 4 moment conditions 4 tourism policy reform 4 Brazilian Amazon 3 China 3 EGARCH 3 Hog prices 3 Modellierung 3 Scientific modelling 3 Stock returns 3 Tourism policy reform 3 Tourismus 3
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Online availability
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Free 30 Undetermined 8
Type of publication
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Book / Working Paper 32 Article 10
Type of publication (narrower categories)
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Working Paper 13 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Article in journal 4 Aufsatz in Zeitschrift 4 Article 1
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Language
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English 22 Undetermined 20
Author
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McAleer, Michael 35 Chang, Chia-Lin 23 Hsu, Hui-Kuang 8 Allen, David E. 4 Chen, Meng-Gu 4 Huang, Biing-Wen 4 Singh, Abhay K. 4 Divino, Jose Angelo 2 Hsu, Shu-Han 2 Li, Yiying 2 Allen, David Edmund 1 Caporin, Massimiliano 1 Chan, Felix 1 Chang, C-L. 1 Chen, Chen, M-G. 1 Chen, M.-G. 1 Costola, Michele 1 Divino, Divino, J.A. 1 Divino, J. A. 1 Hoti, Suhejla 1 Hsu, Hsu, H-K. 1 Huang, B-W. 1 Huang, Huang, B-W. 1 McAleer, M.J. 1 Singh, Abhay Kumar 1
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Institution
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 5 Department of Economics and Finance, College of Business and Economics 4 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 3 Tinbergen Instituut 3 Erasmus University Rotterdam, Econometric Institute 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2
Published in...
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Discussion paper / Tinbergen Institute 6 Tinbergen Institute Discussion Paper 6 Documentos de Trabajo del ICAE 5 Working Papers in Economics 4 Econometric Institute Research Papers 3 Mathematics and Computers in Simulation (MATCOM) 3 Tinbergen Institute Discussion Papers 3 Econometric Institute Report 2 Econometrics 2 MPRA Paper 2 Applied economics 1 Econometric Institute research papers 1 Econometrics : open access journal 1 Economics letters 1 International review of economics & finance : IREF 1 The North American Journal of Economics and Finance 1
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Source
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RePEc 24 ECONIS (ZBW) 11 EconStor 7
Showing 1 - 10 of 42
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Asymmetric Risk Impacts of Chinese Tourists to Taiwan
Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018
volatility models, namely GARCH(1,1), GJR(1,1) and EGARCH(1,1), are used to measure the short-run and long-run persistence of … to link the change rate of tourist arrivals and the change in tourist revenues. Three widely-used univariate conditional …
Persistent link: https://www.econbiz.de/10011932318
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Asymmetric risk impacts of Chinese tourists to Taiwan
Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018
volatility models, namely GARCH(1,1), GJR(1,1) and EGARCH(1,1), are used to measure the short-run and long-run persistence of … to link the change rate of tourist arrivals and the change in tourist revenues. Three widely-used univariate conditional …
Persistent link: https://www.econbiz.de/10011848107
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The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive …
Persistent link: https://www.econbiz.de/10011819449
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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive …
Persistent link: https://www.econbiz.de/10011688332
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Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015
conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …
Persistent link: https://www.econbiz.de/10011403535
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Volatility spillovers between energy and agricultural markets : a critical appraisal of theory and practice
Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015
conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …
Persistent link: https://www.econbiz.de/10011295732
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Asymmetry and leverage in GARCH models : a News Impact Curve perspective
Caporin, Massimiliano; Costola, Michele - In: Applied economics 51 (2019) 31, pp. 3345-3364
Persistent link: https://www.econbiz.de/10012196836
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Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
Allen, David E.; McAleer, Michael; Singh, Abhay K. - 2014
This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia...
Persistent link: https://www.econbiz.de/10010377198
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150
The three most popular univariate conditional volatility models are the generalized autoregressive conditional … models; and (3) to present the interpretation of the parameters of the three popular univariate conditional volatility models …
Persistent link: https://www.econbiz.de/10010421299
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Asymmetry and Leverage in Conditional Volatility Models
McAleer, Michael - 2014
The three most popular univariate conditional volatility models are the generalized autoregressive conditional … appropriate regularity conditions; and (2) to show that leverage is not possible in these univariate conditional volatility models. …
Persistent link: https://www.econbiz.de/10010491351
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