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~institution:"Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam"
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11
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van Dijk, Herman K.
12
Kaashoek, Kaashoek, J.F.
8
McAleer, Michael
7
Hoogerheide, Hoogerheide, L.F.
4
Bos, Charles
3
Chang, Chia-Lin
3
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Franses, Philip Hans
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Mahieu, Ronald
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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1
Do We Often Find ARCH Because Of Neglected Outliers?
Franses, Philip Hans
;
van Dijk, Dick
-
Faculteit der Economische Wetenschappen, Erasmus …
-
1997
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(
G)ARCH
] in daily and weekly … data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for
GARCH
and a new … result is that we find spurious
GARCH
in over 50% of the cases. Using Monte Carlo simulations, in which we evaluate our …
Persistent link: https://www.econbiz.de/10010837745
Saved in:
2
Structure and Asymptotic theory for Nonlinear Models with
GARCH
Errors
McAleer, Michael
;
Chan, Chan, F.
;
Medeiros, Medeiros, M.C.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2011
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order
GARCH
errors. …
Persistent link: https://www.econbiz.de/10010837896
Saved in:
3
How Volatile is ENSO?
McAleer, Michael
;
Chu, Chu, L.
;
Chen, Chen, C-C.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2009
ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning …
Persistent link: https://www.econbiz.de/10010837928
Saved in:
4
It Pays to Violate: How Effective are the Basel Accord Penalties?
McAleer, Michael
;
da Veiga, da Veiga, B.
;
Chan, Chan, F.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10010731585
Saved in:
5
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles
;
Mahieu, Ronald
;
van Dijk, Herman K.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
1999
Carlo methods. The effects of several model characteristics (unit roots,
GARCH
, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10010731646
Saved in:
6
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles
;
Mahieu, Ronald
;
van Dijk, Herman K.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2000
methods. The effects of several model characteristics (unit roots,
GARCH
, stochastic volatility, heavy tailed disturbance …
Persistent link: https://www.econbiz.de/10010731772
Saved in:
7
A simple test for
GARCH
against a stochastic volatility
Franses, Philip Hans
;
Paap, Richard
;
van der Leij, van …
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2005
The
GARCH
model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved … volatility in asset returns. We propose a
GARCH
model with an additional error term, which can capture SV model properties, and … which can be used to test
GARCH
against SV. We discuss model representation, parameter estimation and a simple test for …
Persistent link: https://www.econbiz.de/10010731781
Saved in:
8
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc
;
Bos, Charles
;
van Dijk, Herman K.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
1999
parsimony and robustness. APS is applied within a Bayesian analysis of a
GARCH
-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10010731811
Saved in:
9
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
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/10010732596
Saved in:
10
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
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/10010732607
Saved in:
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