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Risk management and financial derivatives : an overview
Hammoudeh, Shawkat; McAleer, Michael - In: The North American journal of economics and finance : a … 25 (2013), pp. 109-115
Persistent link: https://www.econbiz.de/10009777841
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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008689067
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Ranking multivariate GARCH models by problem dimension: an empirical evaluation
Caporin, Massimiliano; McAleer, Michael - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009619365
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A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010410197
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A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.; McAleer, Michael - 2014 - Revised: July 2014
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/10010374571
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Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987665
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Ranking multivariate GARCH models by problem dimension : an empirical evaluation
Caporin, Massimiliano; McAleer, Michael - 2011
Persistent link: https://www.econbiz.de/10009412785
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Ranking Multivariate GARCH Models by Problem Dimension
Caporin, Massimiliano - 2010
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002). Some recent research has begun to examine MGARCH...
Persistent link: https://www.econbiz.de/10013143822
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Size, internationalization and university rankings : evaluating and predicting times higher education (THE) data for Japan
McAleer, Michael; Nakamura, Tamotsu; Watkins, Clinton - 2019 - Revised: March 2019
Persistent link: https://www.econbiz.de/10011986990