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The econometrics of financial time series
McAleer, Michael; Oxley, Les - In: Contributions to financial econometrics : theoretical …, (pp. 1-7). 2003
Persistent link: https://www.econbiz.de/10001932648
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Recent theoretical results for time series models with GARCH errors
Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Contributions to financial econometrics : theoretical …, (pp. 9-33). 2003
Persistent link: https://www.econbiz.de/10001932650
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The fiction of full BEKK : pricing fossil fuels and carbon emissions
Chang, Chia-Lin; McAleer, Michael - In: Finance research letters 28 (2019), pp. 11-19
Persistent link: https://www.econbiz.de/10012384032
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Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
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Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Wu, Xinyu; Wang, Xiaona - In: Finance research letters 34 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012436997
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A real-rime GARCH-MIDAS model
Wu, Xinyu; Zhao, An; Cheng, Tengfei - In: Finance research letters 56 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014473667