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~isPartOf:"Banco de Espana Working Paper"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / IZA"
~language:"eng"
~person:"McAleer, Michael"
~subject:"EU countries"
~subject:"United States"
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McAleer, Michael
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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2015
analysis. A Jordan decomposition of Σt is used to obtain independent and identically distributed innovations. A
general
issue …
Persistent link: https://www.econbiz.de/10011301206
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2
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009767006
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3
Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724148
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4
Market integration dynamics and asymptotic price convergence in distribution
García-Hiernaux, Alfredo
;
Guerrero, David E.
;
McAleer, …
-
2013
Persistent link: https://www.econbiz.de/10010191280
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