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~institution:"Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam"
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McAleer, Michael
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Chang, Chia-Lin
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Asai, Manabu
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Lim, Lim, C.H.
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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1
On the Invertibility of EGARCH
McAleer, Michael
;
Martinet, Martinet, G.G.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2014
positive and negative effects of equal magnitude, and
leverage
, which refers to the negative correlation between the returns …
Persistent link: https://www.econbiz.de/10011149280
Saved in:
2
A One Line Derivation of EGARCH
McAleer, Michael
;
Hafner, Christian Matthias
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2014
and negative effects of equal magnitude, EGARCH can also accommodate
leverage
, which is the negative correlation between …
Persistent link: https://www.econbiz.de/10011149277
Saved in:
3
Model Selection and Testing of Conditional and Stochastic Volatility Models
Caporin, Massimiliano
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2010
volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and
leverage
. …
Persistent link: https://www.econbiz.de/10010731696
Saved in:
4
Modelling the Asymmetric Volatility in Hog Prices in Taiwan
Chang, Chia-Lin
;
Huang, Huang, B-W.
;
Chen, Chen, M-G.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2010
persistence of symmetry, asymmetry and
leverage
, respectively. …
Persistent link: https://www.econbiz.de/10010732591
Saved in:
5
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2009
memory in the conditional mean, and to examine asymmetry and
leverage
in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not
leverage
) is found for …
Persistent link: https://www.econbiz.de/10010732596
Saved in:
6
Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan
Chang, Chia-Lin
;
McAleer, Michael
;
Lim, Lim, C.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2010
asymmetric effect. Moreover, there is a
leverage
effect in the monthly growth rate of Japanese tourists to New Zealand, whereby … the issues related to risk and
leverage
effects, are also applicable to international tourism flows. …
Persistent link: https://www.econbiz.de/10010732598
Saved in:
7
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2010
mean, to examine asymmetry and
leverage
in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations. Asymmetry (though not
leverage
) is found for several alternative HAR models for the …
Persistent link: https://www.econbiz.de/10010732607
Saved in:
8
Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2009
memory in the conditional mean, and to examine asymmetry and
leverage
in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not
leverage
) is found for …
Persistent link: https://www.econbiz.de/10010732623
Saved in:
9
Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
Chang, Chia-Lin
;
McAleer, Michael
;
Lim, Lim, C.H.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2011
asymmetric effect. Moreover, there is a
leverage
effect in the monthly growth rate of Japanese tourists to New Zealand, whereby … the issues related to risk and
leverage
effects, are also applicable to international tourism flows. …
Persistent link: https://www.econbiz.de/10010732628
Saved in:
10
Ten Things We Should Know About Time Series
McAleer, Michael
;
Oxley, Les
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2010
realized volatility models, not confusing thresholds, asymmetry and
leverage
, not underestimating the complexity of …
Persistent link: https://www.econbiz.de/10010837984
Saved in:
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