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~isPartOf:"Econometric Institute research papers"
~language:"cat"
~language:"eng"
~person:"McAleer, Michael"
~subject:"Kapitalmarktrendite"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
~type_genre:"Non-commercial literature"
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Kapitalmarktrendite
Stochastischer Prozess
Volatility
72
Volatilität
72
ARCH model
59
ARCH-Modell
59
Estimation
38
Schätzung
38
USA
38
United States
38
Welt
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38
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33
Prognoseverfahren
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Time series analysis
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Portfolio selection
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Portfolio-Management
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Spillover effect
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Spillover-Effekt
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Modellierung
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Basel Accord
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Basler Akkord
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Rohstoffderivat
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McAleer, Michael
Chang, Chia-Lin
15
Asai, Manabu
9
Ilomäki, Jukka
4
Laurila, Hannu
4
Allen, David E.
3
Caporin, Massimiliano
3
Dekker, Rommert
3
Hooi Hooi Lean
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Wong, Wing Keung
3
Dijk, Herman K. van
2
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2
Hsieh, Tai-Lin
2
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2
Lambertides, Neophytos
2
Martinet, Guillaume Gaetan
2
Nicolai, R. P.
2
Powell, Robert
2
Savva, Christos S.
2
Singh, Abhay Kumar
2
Wang, Yu-Ann
2
Zopiatis, Anastasios
2
Barros, Ana
1
Bruijn, Bert de
1
Chen, Jinghui
1
Dalmeijer, Kevin
1
Duijzer, Evelot
1
Eckert, Christine
1
Evers, Lanah
1
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1
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1
Hsu, Hui-Kuang
1
Hsu, Shu-Han
1
Huang, Jian
1
Ishida, Isao
1
Jaarsveld, Willem van
1
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Econometric Institute research papers
Discussion paper / Tinbergen Institute
34
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16
Journal of econometrics
8
Econometric reviews
7
Econometrics : open access journal
3
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3
Risks : open access journal
2
The econometrics journal
2
Applied economics
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Managerial finance
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School of Accounting, Finance and Economics & FEMARC working paper series
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The Japanese economic review : the journal of the Japanese Economic Association
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
Market timing with moving averages
Ilomäki, Jukka
;
Laurila, Hannu
;
McAleer, Michael
-
2018
-
Revised: June 2018
Persistent link: https://www.econbiz.de/10011915058
Saved in:
6
Market timing with moving averages for fossil fuel and renewable energy stocks
Chang, Chia-Lin
;
Ilomäki, Jukka
;
Laurila, Hannu
; …
-
2018
Persistent link: https://www.econbiz.de/10011920543
Saved in:
7
Simple market timing with moving averages
Ilomäki, Jukka
;
Laurila, Hannu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011863543
Saved in:
8
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:
9
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:
10
The fiction of full BEKK
Chang, Chia-Lin
;
McAleer, Michael
-
2017
Persistent link: https://www.econbiz.de/10011823320
Saved in:
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