Narrow search
Showing 1 - 10 of 26
Cover Image
Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432589
Cover Image
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
Persistent link: https://www.econbiz.de/10011432792
Cover Image
On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised: February 2015
Persistent link: https://www.econbiz.de/10011346214
Cover Image
The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu; McAleer, Michael - 2015
Persistent link: https://www.econbiz.de/10011346236
Cover Image
Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2015
Persistent link: https://www.econbiz.de/10011346289
Cover Image
On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010438059
Cover Image
A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
Persistent link: https://www.econbiz.de/10010438068
Cover Image
Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016 - Revised
Persistent link: https://www.econbiz.de/10011448000
Cover Image
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised
Persistent link: https://www.econbiz.de/10011448006
Cover Image
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011631770