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type_genre:"Non-commercial literature"
~isPartOf:"Econometric Institute research papers"
~isPartOf:"IWQW discussion paper series"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
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Search: subject_exact:"GARCH model"
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ARCH model
89
ARCH-Modell
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Volatility
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McAleer, Michael
59
Chang, Chia-Lin
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Asai, Manabu
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Lan Fen Chu
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ECONIS (ZBW)
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1
Conditional heteroscedasticity models with time-varying parameters : estimation and asymptotics
Pourkhanali, Armin
;
Keith, Jonathan
;
Zhang, Xibin
-
2020
Persistent link: https://www.econbiz.de/10012697180
Saved in:
2
An event study of Chinese tourists to Taiwan
Chang, Chia-Lin
;
Hsu, Shu-Han
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011785180
Saved in:
3
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011823293
Saved in:
4
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:
5
Asymptotic theory for rotated multivariate GARCH models
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
; …
-
2018
Persistent link: https://www.econbiz.de/10011920705
Saved in:
6
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
Persistent link: https://www.econbiz.de/10011659228
Saved in:
7
The correct egularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: June 2017
Persistent link: https://www.econbiz.de/10011668132
Saved in:
8
The fiction of full BEKK
Chang, Chia-Lin
;
McAleer, Michael
-
2017
Persistent link: https://www.econbiz.de/10011823320
Saved in:
9
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:
10
Theoretical and empirical differences between diagonal and full BEKK for risk management
Allen, David E.
;
McAleer, Michael
-
2017
Persistent link: https://www.econbiz.de/10011734887
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