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Limits to linear price behavior : futures prices regulated by limits

Hall, Anthony D.; Kofman, Paul - In: The journal of futures markets 21 (2001) 5, pp. 463-488

Persistent link: https://www.econbiz.de/10001603197

A survival analysis of Australian equity mutual funds

Cameron, Adrian Colin; Hall, Anthony D. - 2003

Persistent link: https://www.econbiz.de/10002250842

Order aggressiveness and order book dynamics

Hall, Anthony D.; Hautsch, Nikolaus - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 973-1005

Persistent link: https://www.econbiz.de/10003233831

A nonlinear time series model of El Niño

Hall, Anthony D.; Skalin, Joakim; Teräsvirta, Timo - 1998

Persistent link: https://www.econbiz.de/10000994162

Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model

Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021

Persistent link: https://www.econbiz.de/10012815962

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

Persistent link: https://www.econbiz.de/10014281494