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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432589
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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
Persistent link: https://www.econbiz.de/10011432792
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On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised: February 2015
Persistent link: https://www.econbiz.de/10011346214
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The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu; McAleer, Michael - 2015
Persistent link: https://www.econbiz.de/10011346236
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Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2015
Persistent link: https://www.econbiz.de/10011346289
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The impact of China on stock return and volatility
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10010354381
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Size and value effects in Suriname
Bodeutch, Denice; Franses, Philip Hans - 2013
Persistent link: https://www.econbiz.de/10010354389
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010438059
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
Persistent link: https://www.econbiz.de/10010438068
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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