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Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669344
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A fractionally integrated Wishart stochastic volatility model
Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 1/3, pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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A simple expected volatility (SEV) index : application to SET50 Index Options
McAleer, Michael; Wiphatthanananthakul, Chatayan - 2010
Persistent link: https://www.econbiz.de/10008670007
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Measuring the volatility in US treasury benchmarks and debt instruments
Hoti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; … - In: Econometric reviews 28 (2009) 6, pp. 522-554
Persistent link: https://www.econbiz.de/10003881186
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Block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008688575
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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010348324
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010410186
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Special issue: Realized volatility and long memory
Maasoumi, Esfandiar (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003761206
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Are forecast updates progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008670046