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~isPartOf:"Econometric Institute research papers"
~subject:"ARCH-Modell"
~subject:"Portfolio-Management"
~subject:"Spillover effect"
~subject:"Zeitreihenanalyse"
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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
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2015
Persistent link: https://www.econbiz.de/10011432589
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2
Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
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2015
Persistent link: https://www.econbiz.de/10011432732
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3
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies
Allen, David E.
;
McAleer, Michael
;
Shelton, Peiris
; …
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2015
Persistent link: https://www.econbiz.de/10011432736
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4
A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.
;
Chang, Chia-Lin
;
McAleer, Michael
; …
-
2016
Persistent link: https://www.econbiz.de/10011500264
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5
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
Allen, David E.
;
McAleer, Michael
;
Singh, Abhay Kumar
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2016
Persistent link: https://www.econbiz.de/10011477211
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6
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
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2013
Persistent link: https://www.econbiz.de/10009781946
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7
A multi-criteria portfolio analysis of hedge fund strategies
Allen, David E.
;
McAleer, Michael
;
Singh, Abhay Kumar
-
2016
Persistent link: https://www.econbiz.de/10011631787
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8
Theoretical and empirical differences between diagonal and full BEKK for risk management
Allen, David E.
;
McAleer, Michael
-
2017
Persistent link: https://www.econbiz.de/10011734887
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9
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2016
Persistent link: https://www.econbiz.de/10011823323
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10
Cointegrated dynamics for a generalized long memory process : an application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
-
2018
Persistent link: https://www.econbiz.de/10011898049
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