Similar Search Results

Ten Things We Should Know About Time Series

McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010

realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of …

Persistent link: https://www.econbiz.de/10010837984

Franses, Philip Hans; Paap, Richard; Legerstee, … - Faculteit der Economische Wetenschappen, Erasmus … - 2011

assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex … outcomes with those for statistical model-based forecasts of the same sales data. We find substantial evidence for asymmetry in …

Persistent link: https://www.econbiz.de/10010731677

Model Selection and Testing of Conditional and Stochastic Volatility Models

Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …

Persistent link: https://www.econbiz.de/10010731696

The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry

Chang, Chia-Lin; McAleer, Michael; Hsu, Hsu, H-K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...

Persistent link: https://www.econbiz.de/10010732584

Modelling the Asymmetric Volatility in Hog Prices in Taiwan

Chang, Chia-Lin; Huang, Huang, B-W.; Chen, Chen, M-G. - Faculteit der Economische Wetenschappen, Erasmus … - 2010

persistence of symmetry, asymmetry and leverage, respectively. …

Persistent link: https://www.econbiz.de/10010732591

Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan

Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009

memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …

Persistent link: https://www.econbiz.de/10010732596

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models for the …

Persistent link: https://www.econbiz.de/10010732607

Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009

Persistent link: https://www.econbiz.de/10010732623

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; McAleer, Michael; Allen, Allen, D.E. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...

Persistent link: https://www.econbiz.de/10010732636

A One Line Derivation of EGARCH

McAleer, Michael; Hafner, Christian Matthias - Faculteit der Economische Wetenschappen, Erasmus … - 2014

EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive …

Persistent link: https://www.econbiz.de/10011149277