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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
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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
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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
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Forecasting realized volatility with linear and nonlinear models
McAleer, Michael; Medeiros, Marcelo C. - 2009
Persistent link: https://www.econbiz.de/10003910296
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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010
Persistent link: https://www.econbiz.de/10008664039
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Daily market news sentiment and stock prices
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2015
Persistent link: https://www.econbiz.de/10011432600
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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
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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
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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
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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