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~isPartOf:"Journal of econometrics"
~person:"McAleer, Michael"
~person:"Meddahi, Nour"
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Volatility
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McAleer, Michael
Meddahi, Nour
Bollerslev, Tim
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Conference on Realized Volatility <2006, Montréal>
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ECONIS (ZBW)
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1
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
2
An econometric analysis of asymmetric volatility : theory and application to patents
McAleer, Michael
;
Chan, Felix
;
Marinova, Dora
- In:
Journal of econometrics
139
(
2007
)
2
,
pp. 259-284
Persistent link: https://www.econbiz.de/10003485356
Saved in:
3
The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 182-192
Persistent link: https://www.econbiz.de/10003858519
Saved in:
4
Realized volatility forecasting and market microstructure noise
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
Saved in:
5
Box-Cox transforms for realized volatility
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 129-144
Persistent link: https://www.econbiz.de/10009242530
Saved in:
6
Realized volatility
Meddahi, Nour
;
Mykland, Per A.
;
Shephard, Neil G.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 1
Persistent link: https://www.econbiz.de/10009242567
Saved in:
7
Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]
Meddahi, Nour
(
contributor
);
Mykland, Per A.
(
contributor
); …
-
2010
Persistent link: https://www.econbiz.de/10009244600
Saved in:
8
Bootstrapping realized multivariate volatility measures
Dovonon, Prosper
;
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Journal of econometrics
172
(
2013
)
1
,
pp. 49-65
Persistent link: https://www.econbiz.de/10009702319
Saved in:
9
Frontiers in time series and financial econometrics: An overview
Ling, Shiqing
;
McAleer, Michael
;
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 245-250
Persistent link: https://www.econbiz.de/10011503737
Saved in:
10
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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