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subject:"USA"
~institution:"University of Canterbury / Dept. of Economics and Finance"
~isPartOf:"Journal of macroeconomics"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~isPartOf:"Working Paper / Bank of Greece"
~isPartOf:"Working Paper"
~isPartOf:"Working paper"
~person:"Hall, Stephen G."
~person:"McAleer, Michael"
~subject:"Euro area"
~subject:"Monetary policy"
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University of Canterbury / Dept. of Economics and Finance
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Journal of macroeconomics
The journal of finance : the journal of the American Finance Association
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
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Rev.
Persistent link: https://www.econbiz.de/10009562985
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Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
2011
-
1. version, rev.
Persistent link: https://www.econbiz.de/10009012211
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