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Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis

McAleer, Michael; Suen, John; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10009767005

McAleer, Michael; Hafner, Christian M. - 2014

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Persistent link: https://www.econbiz.de/10010362978

On the invertibility of EGARCH

Martinet, Guillaume Gaetan; McAleer, Michael - 2014

parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable …

Persistent link: https://www.econbiz.de/10010384390

On the invertibility of EGARCH(p,q)

Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015

parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable …

Persistent link: https://www.econbiz.de/10010477092

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97

parameters are not available under general conditions, but rather only for special cases under highly restrictive and … unverifiable conditions. It is often argued heuristically that the reason for the lack of general statistical properties arises … (2) the reason for the lack of statistical properties of the estimators of EGARCH under general conditions is that the …

Persistent link: https://www.econbiz.de/10010392823

The correct regularity condition and interpretation of asymmetry in EGARCH

Chang, Chia-Lin; McAleer, Michael - 2017

In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the...

Persistent link: https://www.econbiz.de/10011688332

Stationarity and Invertibility of a Dynamic Correlation Matrix

McAleer, Michael - 2017

One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...

Persistent link: https://www.econbiz.de/10012948028

Volatility Spillovers from the US to Australia and China across the GFC

Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - 2013

This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...

Persistent link: https://www.econbiz.de/10010326245

Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks

Chang, Chia-Lin - 2009

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of...

Persistent link: https://www.econbiz.de/10013159693