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~isPartOf:"Econometric Institute research papers"
~language:"eng"
~person:"McAleer, Michael"
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81
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011631770
Saved in:
82
A simple test for causality in volatility
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011624065
Saved in:
83
Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong
;
Li, Hua
;
McAleer, Michael
;
Wong, Wing Keung
-
2016
Persistent link: https://www.econbiz.de/10011477196
Saved in:
84
Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yanghuiting
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500276
Saved in:
85
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui
;
Kobayashi, Masahito
;
McAleer, Michael
-
2016
-
Revised
Persistent link: https://www.econbiz.de/10011448006
Saved in:
86
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:
87
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:
88
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:
89
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2015
Persistent link: https://www.econbiz.de/10010507684
Saved in:
90
Behavioural, financial, and health & medical economics : a connection
Chang, Chia-Lin
;
McAleer, Michael
;
Wong, Wing Keung
-
2015
Persistent link: https://www.econbiz.de/10011432633
Saved in:
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