Narrow search
Showing 1 - 10 of 560
Cover Image
An evaluation of volatility forecasting techniques
Brailsford, Timothy J.; Faff, Robert W. - 1994
Persistent link: https://www.econbiz.de/10000894255
Cover Image
Market timing with aggregate and idiosyncratic stock volatilities
Guo, Hui (contributor); Higbee, Jason (contributor) - 2005 - rev.
Persistent link: https://www.econbiz.de/10003344908
Cover Image
Modelling and forecasting noisy realized volatility
Asai, Manuabu; McAleer, Michael; Medeiros, Marcelo C. - 2010
Persistent link: https://www.econbiz.de/10008669930
Cover Image
A simple expected volatility (SEV) index : application to SET50 Index Options
McAleer, Michael; Wiphatthanananthakul, Chatayan - 2010
Persistent link: https://www.econbiz.de/10008670007
Cover Image
Forecasting realized volatility with linear and nonlinear univariate models
McAleer, Michael; Medeiros, Marcelo C. - 2010
Persistent link: https://www.econbiz.de/10008689073
Cover Image
Realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2010
Persistent link: https://www.econbiz.de/10008689075
Cover Image
GFC-robust risk management strategies under the Basel Accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695591
Cover Image
Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
Cover Image
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008695598
Cover Image
Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735