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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric Institute research papers"
~person:"Aguilar, Mike"
~person:"McAleer, Michael"
~subject:"ARCH-Modell"
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Search: subject_exact:"Volatility"
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ARCH-Modell
Volatility
82
Volatilität
82
ARCH model
38
Estimation
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24
Spillover effect
23
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23
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Aguilar, Mike
McAleer, Michael
Chang, Chia-Lin
21
Tansuchat, Roengchai
6
Bollerslev, Tim
4
Chen, Chi-chung
4
Francq, Christian
4
Zakoïan, Jean-Michel
4
Asai, Manabu
3
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3
Hallin, Marc
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Kim, Donggyu
3
Paolella, Marc S.
3
Xiu, Dacheng
3
Zhu, Ke
3
Allen, David E.
2
Barigozzi, Matteo
2
Caporin, Massimiliano
2
Chen, Ping-yu
2
Franses, Philip Hans
2
Gonçalves, Sílvia
2
Hammoudeh, Shawkat M.
2
Herwartz, Helmut
2
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Li, Wai Keung
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2
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2
Yuan, Yuan
2
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1
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1
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1
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Journal of econometrics
Econometric Institute research papers
Discussion paper / Tinbergen Institute
21
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16
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3
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3
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3
Journal of risk and financial management : JRFM
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ECONIS (ZBW)
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Latent volatility granger causality and spillovers in renewable energy and crude oil ETFs
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2018
Persistent link: https://www.econbiz.de/10011863536
Saved in:
2
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011823293
Saved in:
3
Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin
;
McAleer, Michael
;
Zuo, Guangdong
-
2017
-
Revised: May 2017
Persistent link: https://www.econbiz.de/10011965722
Saved in:
4
Volatility spillovers for spot, futures, and ETF prices in Energy and Agriculture
Chang, Chia-Lin
;
Liu, Chia-Ping
;
McAleer, Michael
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541148
Saved in:
5
Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin
;
McAleer, Michael
;
Tian, Jiarong
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541151
Saved in:
6
An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Chien-Hsun
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500282
Saved in:
7
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:
8
Multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2015
Persistent link: https://www.econbiz.de/10011432589
Saved in:
9
On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2015
-
Revised: February 2015
Persistent link: https://www.econbiz.de/10011346214
Saved in:
10
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2015
Persistent link: https://www.econbiz.de/10010507684
Saved in:
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