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The impact of China on stock returns and volatility in the Taiwan tourism industry
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10010191310
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Estimating loss functions of experts
Franses, Philip Hans; Legerstee, Rianne; Paap, Richard - 2011
Persistent link: https://www.econbiz.de/10009720701
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Tax rates as strategic substitutes
Mooij, Ruud A. de; Vrijburg, Hendrik - 2012
Persistent link: https://www.econbiz.de/10009722964
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010362978
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Market structure and the pricing of new products : a nested logit approach with asymmetric firms
Bleker, Sylvia; Behrens, Christiaan; Koster, Paul; … - 2014
This article investigates competition in a market with an emerging technology using a discrete choice model to analyze demand and welfare. We focus on industry structure and investigate the impact of different market structures on demand for the new technology and on welfare. The car market...
Persistent link: https://www.econbiz.de/10010421763
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010384390
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
models are important in estimating and forecasting volatility, as well as capturing asymmetry, which is the different effects … between asymmetry and leverage, as well as which asymmetric models are purported to be able to capture leverage, the purpose …
Persistent link: https://www.econbiz.de/10010405194
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010477092
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Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016
futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four … relating to alternative models of mean and variance feedback and asymmetry for intra-daily returns, asymmetry and volatility …
Persistent link: https://www.econbiz.de/10011441584
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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London...
Persistent link: https://www.econbiz.de/10011301206