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An econometric analysis of asymmetric volatility : theory and application to patents

McAleer, Michael; Chan, Felix; Marinova, Dora - In: Journal of econometrics 139 (2007) 2, pp. 259-284

Persistent link: https://www.econbiz.de/10003485356

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

Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724148

Volatility spillovers from the US to Australia and China across the GFC

Allen, David E.; McAleer, Michael; Powell, R. J.; … - 2013

Persistent link: https://www.econbiz.de/10009724110

Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016

, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers …, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude … oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese …

Persistent link: https://www.econbiz.de/10011520514

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - 2014

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Persistent link: https://www.econbiz.de/10010362978

On the invertibility of EGARCH

Martinet, Guillaume Gaetan; McAleer, Michael - 2014

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...

Persistent link: https://www.econbiz.de/10010384390

Realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013

Persistent link: https://www.econbiz.de/10009784942

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - 2014

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....

Persistent link: https://www.econbiz.de/10010259630

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10010366935