Narrow search
Showing 1 - 10 of 91
Cover Image
Multivariate Volatility Impulse Response Analysis of GFC News Events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London...
Persistent link: https://www.econbiz.de/10011403543
Cover Image
The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013
This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...
Persistent link: https://www.econbiz.de/10010326144
Cover Image
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
Asai, Manabu; McAleer, Michael - 2016
The paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or the MALMX model, with dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory. This enables checking of internal consistency and...
Persistent link: https://www.econbiz.de/10011586680
Cover Image
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
Asai, Manabu; McAleer, Michael - 2016
The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical...
Persistent link: https://www.econbiz.de/10011586686
Cover Image
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016
covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation …
Persistent link: https://www.econbiz.de/10011586691
Cover Image
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken...
Persistent link: https://www.econbiz.de/10011586699
Cover Image
Realized Stochastic Volatility with General Asymmetry and Long Memory
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017
incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert … RSV-GALM model and a test for general asymmetry, and analyses the finite sample properties. The paper also develops an …
Persistent link: https://www.econbiz.de/10011662536
Cover Image
The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
by McAleer and Hafner (2014) to obtain EGARCH. These models can be used to capture asymmetry, which denotes the different …) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for … EGARCH. Surprisingly, the conditions for asymmetry in EGARCH seem to have been ignored in the literature, or have …
Persistent link: https://www.econbiz.de/10011819449
Cover Image
Bayesian Analysis of Realized Matrix-Exponential GARCH Models
Asai, Manabu; McAleer, Michael - 2018
The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric function to develop news impact curves. We consider...
Persistent link: https://www.econbiz.de/10011819520
Cover Image
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016
futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four … relating to alternative models of mean and variance feedback and asymmetry for intra-daily returns, asymmetry and volatility …
Persistent link: https://www.econbiz.de/10011451515