Narrow search
Showing 51 - 60 of 100
Cover Image
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: The North American journal of economics and finance : a … 25 (2013), pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
Cover Image
Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis
McAleer, Michael; Suen, John; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10009754991
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
Persistent link: https://www.econbiz.de/10010188543
Cover Image
A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10009711717
Cover Image
Financial dependence analysis : applications of vine copulae
Allen, David E.; Ashraf, Mohammad A.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009711719
Cover Image
A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10009765843
Cover Image
Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis
McAleer, Michael; Suen, John; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10009767005
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
Persistent link: https://www.econbiz.de/10010191310
Cover Image
A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...
Persistent link: https://www.econbiz.de/10010362978
Cover Image
The impact of China on stock return and volatility
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10010354381