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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
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A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010377212
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150
models are important in estimating and forecasting volatility, as well as in capturing asymmetry, which is the different … confusion in the literature between asymmetry and leverage, as well as which asymmetric models are purported to be able to …
Persistent link: https://www.econbiz.de/10010421299
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics 2 (2014) 2, pp. 92-97
) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010421302
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010491325
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Asymmetry and Leverage in Conditional Volatility Models
McAleer, Michael - 2014
models are important in estimating and forecasting volatility, as well as capturing asymmetry, which is the different effects … between asymmetry and leverage, as well as which asymmetric models are purported to be able to capture leverage, the purpose …
Persistent link: https://www.econbiz.de/10010491351
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On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010491406
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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
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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
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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