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~person:"Bhattacharya, Debopam"
~person:"McAleer, Michael"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Collection of articles written by one author"
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Volatility
14
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14
Multivariate Analyse
9
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9
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9
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Bhattacharya, Debopam
McAleer, Michael
Hammoudeh, Shawkat
26
Tiwari, Aviral Kumar
21
Mensi, Walid
18
Reboredo, Juan Carlos
18
Weiß, Gregor
17
Kim, Jong-Min
16
Guesmi, Khaled
15
Nguyen, Duc Khuong
15
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14
Asai, Manabu
13
Serletis, Apostolos
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12
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12
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11
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11
Hamori, Shigeyuki
11
Härdle, Wolfgang
11
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11
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11
Shi, Peng
11
Gupta, Rangan
10
Hruschka, Harald
10
Okhrin, Ostap
10
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10
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10
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10
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10
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10
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9
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9
Gil-Alaña, Luis A.
9
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9
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9
Righi, Marcelo Brutti
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9
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9
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ECONIS (ZBW)
20
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1
Asymptotic and finite sample properties for
multivariate
rotated GARCH models
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
; …
- In:
Econometrics : open access journal
9
(
2021
)
2
,
pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating
multivariate
rotated GARCH …
Persistent link: https://www.econbiz.de/10012547429
Saved in:
2
Multivariate
hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
3
Volatility spillover and
multivariate
volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
- In:
Applied economics
49
(
2017
)
31/33
,
pp. 3246-3262
Persistent link: https://www.econbiz.de/10011774739
Saved in:
4
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
5
Frontiers in time series and financial econometrics: An overview
Ling, Shiqing
;
McAleer, Michael
;
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 245-250
Persistent link: https://www.econbiz.de/10011503737
Saved in:
6
The fiction of full BEKK : pricing fossil fuels and carbon emissions
Chang, Chia-Lin
;
McAleer, Michael
- In:
Finance research letters
28
(
2019
),
pp. 11-19
Persistent link: https://www.econbiz.de/10012384032
Saved in:
7
Non-parametric multiple change point analysis of the global financial crisis
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
- In:
Annals of financial economics
13
(
2018
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011931167
Saved in:
8
The structure of dynamic correlations in
multivariate
stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 182-192
Persistent link: https://www.econbiz.de/10003858519
Saved in:
9
Structure and asymptotic theory for
multivariate
asymmetric conditional volatility
McAleer, Michael
;
Hoti, Suhejla
;
Chan, Felix
- In:
Econometric reviews
28
(
2009
)
5
,
pp. 422-440
Persistent link: https://www.econbiz.de/10003873066
Saved in:
10
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
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