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~person:"Degiannakis, Stavros"
~person:"McAleer, Michael"
~subject:"ARCH model"
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ARCH model
Portfolio-Management
80
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78
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66
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53
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52
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50
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Degiannakis, Stavros
McAleer, Michael
Engle, Robert F.
14
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12
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11
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9
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8
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8
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7
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7
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7
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7
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6
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6
Kang, Sang Hoon
5
Kumar, Dilip
5
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5
Mondal, Linkon
5
Nguyen, Duc Khuong
5
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5
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5
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4
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4
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Frattarolo, Lorenzo
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1
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ECONIS (ZBW)
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2016
should be considered as viable futures products in financial portfolios for risk
management
. …
Persistent link: https://www.econbiz.de/10011441704
Saved in:
2
Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Degiannakis, Stavros
;
Potamia, Artemis
- In:
International review of financial analysis
49
(
2017
),
pp. 176-190
Persistent link: https://www.econbiz.de/10011741290
Saved in:
3
It Pays to Violate : How Effective are the Basel Accord Penalties in Encouraging Risk
Management
?
da Veiga, Bernardo
-
2010
management
. In addition, this paper suggests an alternative penalty structure that is more effective at aligning the interests of …
Persistent link: https://www.econbiz.de/10013149149
Saved in:
4
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
5
It pays to violate : how effective are the Basel accord penalties?
Da Veiga, Bernardo
;
Chan, Felix
;
McAleer, Michael
-
2009
Persistent link: https://www.econbiz.de/10003910300
Saved in:
6
Modelling and forecasting dynamic VaR thresholds for risk
management
and regulation
Allen, David E.
(
contributor
);
McAleer, Michael
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003097567
Saved in:
7
It pays to violate : how effective are the Basel accord penalties in encouraging risk
management
?
Da Veiga, Bernardo
;
Chan, Felix
;
McAleer, Michael
- In:
Accounting and finance : journal of the Accounting …
52
(
2012
)
1
,
pp. 95-116
Persistent link: https://www.econbiz.de/10009512724
Saved in:
8
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619346
Saved in:
9
The rise and fall of S&P 500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009413649
Saved in:
10
Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987324
Saved in:
1
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