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~isPartOf:"Working paper"
~person:"McAleer, Michael"
~person:"Qin, Duo"
~subject:"2006-2011"
~subject:"ARCH model"
~type_genre:"Non-commercial literature"
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Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669311
Saved in:
2
Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008689067
Saved in:
3
Exchange rate and industrial commodity volatility transmissions, asymmetries and hedging strategies
Hammoudeh, Shawkat
;
Yuan, Yuan
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008689068
Saved in:
4
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008689069
Saved in:
5
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008695598
Saved in:
6
Ranking multivariate GARCH models by problem dimension : an empirical evaluation
Caporin, Massimiliano
;
McAleer, Michael
-
2011
Persistent link: https://www.econbiz.de/10009412785
Saved in:
7
The rise and fall of S&P 500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009413649
Saved in:
8
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410186
Saved in:
9
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, Massimiliano
;
McAleer, Michael
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008760500
Saved in:
10
Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2012
Persistent link: https://www.econbiz.de/10009562958
Saved in:
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