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isPartOf:"Econometric Institute research papers"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~subject:"Spillover effect"
~subject:"Volatilität"
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Search: subject_exact:"Abnormal return"
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Spillover effect
Volatilität
Capital market returns
77
Kapitalmarktrendite
77
USA
39
United States
39
Volatility
24
Estimation
19
Schätzung
19
Börsenkurs
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Portfolio selection
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Spillover-Effekt
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Aktienindex
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Financial analysis
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Finanzanalyse
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Institutioneller Investor
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English
25
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McAleer, Michael
19
Chang, Chia-Lin
8
Asai, Manabu
4
Allen, David E.
2
Hsieh, Tai-Lin
2
Lambertides, Neophytos
2
Martinet, Guillaume Gaetan
2
Powell, Robert
2
Savva, Christos S.
2
Singh, Abhay Kumar
2
Wang, Yu-Ann
2
Zopiatis, Anastasios
2
An, Byeong-Je
1
Ang, Andrew
1
Bali, Turan G.
1
Cakici, Nusret
1
Caporin, Massimiliano
1
Chaboud, Alain P.
1
Chen, Huafeng Jason
1
Chen, Jinghui
1
Chiang, I-Hsuan Ethan
1
Chiquoine, Benjamin
1
Cremers, Martijn
1
Hafner, Christian M.
1
Halling, Michael
1
Hjalmarsson, Erik
1
Hughen, W. Keener
1
Ilomäki, Jukka
1
Kobayashi, Masahito
1
Laurila, Hannu
1
Ryčkov, Oleg
1
Sagi, Jacob Shimon
1
Vega, Clara
1
Weinbaum, David
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Econometric Institute research papers
The journal of finance : the journal of the American Finance Association
The journal of futures markets
19
Discussion paper / Tinbergen Institute
17
Journal of financial and quantitative analysis : JFQA
16
Energy economics
13
Working paper / National Bureau of Economic Research, Inc.
13
Finance research letters
10
NBER working paper series
10
NBER Working Paper
9
International review of financial analysis
8
Journal of banking & finance
8
Pacific-Basin finance journal
8
Applied economics
7
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7
Journal of financial economics
7
Journal of international financial markets, institutions & money
7
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7
International review of economics & finance : IREF
6
International review of finance
6
The review of financial studies
6
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6
Documento de trabajo / Pontifícia Universidad Católica del Perú, Departamento de Economía
5
International Journal of Energy Economics and Policy : IJEEP
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
The North American journal of economics and finance : a journal of financial economics studies
5
Economic modelling
4
Economics letters
4
Finance India : the quarterly journal of Indian Institute of Finance
4
Research in international business and finance
4
Review of asset pricing studies
4
CESifo working papers
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Cambridge working papers in economics
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ECON PhD dissertations
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Emerging markets, finance and trade : EMFT
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IMF working papers
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Journal of applied econometrics
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1
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011823293
Saved in:
2
Long run returns predictability and volatility with moving averages
Chang, Chia-Lin
;
Ilomäki, Jukka
;
Laurila, Hannu
; …
-
2018
Persistent link: https://www.econbiz.de/10011920696
Saved in:
3
Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2018
-
Revised: September 2018
Persistent link: https://www.econbiz.de/10011920700
Saved in:
4
Tourism stocks in times of crises : an econometric investigation of unexpected non-macroeconomic factors
Zopiatis, Anastasios
;
Savva, Christos S.
;
Lambertides, …
-
2017
-
Revised: June 2017
Persistent link: https://www.econbiz.de/10011668137
Saved in:
5
Connecting VIX and stock index ETF
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2017
-
Revised: January 2017
Persistent link: https://www.econbiz.de/10011823316
Saved in:
6
Forecasting the volatility of Nikkei 225 futures
Asai, Manabu
;
McAleer, Michael
-
2017
-
Revised: January 2017
Persistent link: https://www.econbiz.de/10011823321
Saved in:
7
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
Persistent link: https://www.econbiz.de/10011432792
Saved in:
8
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2016
Persistent link: https://www.econbiz.de/10011823323
Saved in:
9
Tourism stocks in times of crises : an econometric investigation of non-macro factors
Zopiatis, Anastasios
;
Savva, Christos S.
;
Lambertides, …
-
2016
Persistent link: https://www.econbiz.de/10011823329
Saved in:
10
Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2016
-
Revised
Persistent link: https://www.econbiz.de/10011448000
Saved in:
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