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Asymmetry and leverage in realized volatility
Asai, Manabu (contributor); McAleer, Michael (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003780794
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How are VIX and stock index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011447222
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Theory and application of an economic performance measure of risk
Niu, Cuizhen; Guo, Xu; McAleer, Michael; Wong, Wing Keung - 2017
Persistent link: https://www.econbiz.de/10011668139
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25
heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and …
Persistent link: https://www.econbiz.de/10011961446
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2018 - Revised: September 2018
Persistent link: https://www.econbiz.de/10011920700
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Connecting VIX and stock index ETF
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2017 - Revised: January 2017
Persistent link: https://www.econbiz.de/10011823316
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25
heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and …
Persistent link: https://www.econbiz.de/10012611071