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~institution:"Center for Economic Research <Tilburg>"
~institution:"Ekonomiska forskningsinstitutet <Stockholm>"
~institution:"Erasmus University Rotterdam, Econometric Institute"
~subject:"leverage"
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leverage
Asymmetric information
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McAleer, M.J.
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Chang, C-L.
4
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1
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Oxley, L.
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Center for Economic Research <Tilburg>
Ekonomiska forskningsinstitutet <Stockholm>
Erasmus University Rotterdam, Econometric Institute
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
6
Department of Economics and Finance, College of Business and Economics
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Institute of Economic Research, Kyoto University
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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1
Model Selection and Testing of Conditional and Stochastic Volatility Models
Caporin, M.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2010
volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture
asymmetry
and leverage. …
Persistent link: https://www.econbiz.de/10008677982
Saved in:
2
Ten Things We Should Know About Time Series
McAleer, M.J.
;
Oxley, L.
-
Erasmus University Rotterdam, Econometric Institute
-
2010
realized volatility models, not confusing thresholds,
asymmetry
and leverage, not underestimating the complexity of …
Persistent link: https://www.econbiz.de/10008484072
Saved in:
3
Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO
Chang, C-L.
;
Huang, B-W.
;
Chen, M.-G.
-
Erasmus University Rotterdam, Econometric Institute
-
2010
persistence of symmetry,
asymmetry
and leverage, respectively. …
Persistent link: https://www.econbiz.de/10008484073
Saved in:
4
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2010
mean, to examine
asymmetry
and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations.
Asymmetry
(though not leverage) is found for several alternative HAR models for the …
Persistent link: https://www.econbiz.de/10008584742
Saved in:
5
Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
memory in the conditional mean, and to examine
asymmetry
and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations.
Asymmetry
(though not leverage) is found for …
Persistent link: https://www.econbiz.de/10008570643
Saved in:
6
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
memory in the conditional mean, and to examine
asymmetry
and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations.
Asymmetry
(though not leverage) is found for …
Persistent link: https://www.econbiz.de/10008584711
Saved in:
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