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~person:"McAleer, Michael"
~subject:"Arbeitslosigkeit"
~subject:"Börsenkurs"
~subject:"Zeitreihenanalyse"
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Arbeitslosigkeit
Börsenkurs
Zeitreihenanalyse
Theorie
222
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214
Schätzung
159
Estimation
152
Volatilität
151
Volatility
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McAleer, Michael
Gil-Alaña, Luis A.
308
Caporale, Guglielmo Maria
303
Gupta, Rangan
178
Franses, Philip Hans
177
Koopman, Siem Jan
168
Phillips, Peter C. B.
141
Hautsch, Nikolaus
105
Härdle, Wolfgang
100
Pesaran, M. Hashem
98
Lux, Thomas
95
Berg, Gerard J. van den
89
Lütkepohl, Helmut
89
Koop, Gary
87
Engle, Robert F.
86
Sibbertsen, Philipp
83
Teräsvirta, Timo
81
Pierdzioch, Christian
78
Addison, John T.
77
Kunst, Robert M.
76
Ours, Jan C. van
76
Stock, James H.
76
Timmermann, Allan
76
Snower, Dennis J.
73
Kapetanios, George
72
Swanson, Norman R.
70
Lucas, André
69
Watson, Mark W.
69
Stulz, René M.
67
Gao, Jiti
65
Bollerslev, Tim
64
Campbell, John Y.
64
Harvey, Andrew C.
64
Portugal, Pedro
64
Dijk, Herman K. van
62
Ghysels, Eric
62
Hassler, Uwe
61
Marcellino, Massimiliano
61
Bauwens, Luc
60
Fitzenberger, Bernd
60
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Shakai-Keizai-Kenkyūsho <Osaka>
3
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2
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ECONIS (ZBW)
119
EconStor
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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
Saved in:
2
Conditional correlations and volatility spillovers between crude oil and stock index returns
Tansuchat, Roengchai
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987330
Saved in:
3
Non-trading day effects in asymmetric conditional and stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 113-123
Persistent link: https://www.econbiz.de/10003451750
Saved in:
4
Forecasting realized volatility with linear and nonlinear models
McAleer, Michael
;
Medeiros, Marcelo C.
-
2009
Persistent link: https://www.econbiz.de/10003910296
Saved in:
5
Asymmetry and long memory in volatility modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
Persistent link: https://www.econbiz.de/10008664039
Saved in:
6
Daily market news sentiment and stock prices
Allen, David E.
;
McAleer, Michael
;
Singh, Abhay Kumar
-
2015
Persistent link: https://www.econbiz.de/10011432600
Saved in:
7
Daily market news sentiment and stock prices
Allen, David E.
;
McAleer, Michael
;
Singh, Abhay K
-
2015
significant, suggesting that
information
compounded in these scores is not immediately reflected in security prices and related …
Persistent link: https://www.econbiz.de/10011301201
Saved in:
8
Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
- In:
Managerial finance
37
(
2011
)
11
,
pp. 1048-1067
Persistent link: https://www.econbiz.de/10009388885
Saved in:
9
Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
2011
-
Rev.
This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) implied (or expected) volatility index (VIX)....
Persistent link: https://www.econbiz.de/10008936795
Saved in:
10
Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
2011
-
1. version, rev.
Persistent link: https://www.econbiz.de/10009012211
Saved in:
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