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Testing for volatility co-movement in bivariate stochastic volatility models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017
The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test...
Persistent link: https://www.econbiz.de/10011602570
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Testing for volatility co-movement in bivariate stochastic volatility models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017
Persistent link: https://www.econbiz.de/10011659216
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Globalization and knowledge spillover : international direct investment, exports and patents
Chang, Chia-Lin; Chen, Sung-po; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008664062
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Globalization and knowledge spillover : international direct investment, exports and patents
Chang, Chia-Lin; Chen, Sung-po; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008695602
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Globalization and knowledge spillover : international direct investment, exports and patents
Chang, Chia-Lin; Chen, Sung-po; McAleer, Michael - In: Economics of innovation and new technology 22 (2013) 3/4, pp. 329-352
Persistent link: https://www.econbiz.de/10009791551
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Globalization and Knowledge Spillover : International Direct Investment, Exports and Patents
Chang, Chia-Lin; Chen, Sung-Po; McAleer, Michael - 2010
direct investment, inward direct investment (IDI) and exports. The number of Triadic patents serves as a proxy for innovation …. The data set contains 37 countries that are considered to be highly competitive in the world market, covering the period … 1994 to 2005. The empirical results show that increased exports and outward direct investment are able to stimulate an …
Persistent link: https://www.econbiz.de/10014191190
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Modelling the riskiness in country risk ratings
Hoti, Suhejla (contributor); McAleer, Michael (contributor) - 2005
Introduction / Michael McAleer -- Assessment of risk ratings and risk returns for 120 representative countries / Michael McAleer -- Conditional volatility models for risk ratings and risk returns / Michael McAleer -- Univariate and multivariate estimates of symmetric and asymmetric conditional...
Persistent link: https://www.econbiz.de/10012049748
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How volatile is ENSO?
Lan Fen Chu; McAleer, Michael; Chen, Chi-chung - 2010
Persistent link: https://www.econbiz.de/10008689070
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How volatile is ENSO?
Chu, LanFen; McAleer, Michael; Chen, Chi-chung - 2009
Persistent link: https://www.econbiz.de/10003877146
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How Volatile is ENSO
Chu, Lan-Fen; McAleer, Michael; Chen, Chi-Chung - 2009
The El Niños Southern Oscillations (ENSO) is a periodical phenomenon of climatic interannual variability which could be measured through either the Southern Oscillation Index (SOI) or the Sea Surface Temperature (SST) Index. The main purpose of this paper is to analyze these two indexes in...
Persistent link: https://www.econbiz.de/10014205838