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Risk-averse and risk-seeking investor preferences for oil spot and futures
Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10010191274
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Do We Need Stochastic Volatility and GARCH? Comparing Squared End-of-Day Returns on FTSE
Allen, David E. - 2019
The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we use the realized volatility (RV) of FTSE sampled at 5-minute intervals, taken from the Oxford Man Realised Library. Both models...
Persistent link: https://www.econbiz.de/10012859426
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and …
Persistent link: https://www.econbiz.de/10010326212
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and …
Persistent link: https://www.econbiz.de/10011256871
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; McAleer, Michael; Allen, David - Facultad de Ciencias Económicas y Empresariales, … - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and …
Persistent link: https://www.econbiz.de/10010778692
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Recent Developments in Financial Economics and Econometrics:An Overview
Chang, Chia-Lin; Allen, David E; McAleer, Michael - Institute of Economic Research, Kyoto University - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and …
Persistent link: https://www.econbiz.de/10010860064
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Department of Economics and Finance, College of … - 2013
denominated in different currencies, with theory and illustrations, EVT and tail-risk modelling, with evidence from market indices …
Persistent link: https://www.econbiz.de/10010907402
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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
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Practical issues in cointegration analysis : special issue
Oxley, Les (contributor); McAleer, Michael (contributor) - 1998
Persistent link: https://www.econbiz.de/10001400853
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Cointegration analysis of seasonal time series
Franses, Philip Hans; McAleer, Michael - In: Journal of economic surveys 12 (1998) 5, pp. 651-678
Persistent link: https://www.econbiz.de/10001400867