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~person:"McAleer, Michael"
~subject:"Aktienindex"
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Aktienindex
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59
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McAleer, Michael
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1
Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
- In:
Journal of Risk and Financial Management
11
(
2018
)
4
,
pp. 1-25
heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the
USA
and …
Persistent link: https://www.econbiz.de/10012611071
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
Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
- In:
Journal of risk and financial management : JRFM
11
(
2018
)
4
,
pp. 1-25
heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the
USA
and …
Persistent link: https://www.econbiz.de/10011961446
Saved in:
4
Theory and application of an economic performance measure of risk
Niu, Cuizhen
;
Guo, Xu
;
McAleer, Michael
;
Wong, Wing Keung
-
2017
Persistent link: https://www.econbiz.de/10011668139
Saved in:
5
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:
6
How are VIX and stock index ETF related?
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011447222
Saved in:
7
Asymmetry and leverage in realized volatility
Asai, Manabu
(
contributor
);
McAleer, Michael
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003780794
Saved in:
8
Asymmetric multivariate stochastic volatility
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 453-473
Persistent link: https://www.econbiz.de/10003355815
Saved in:
9
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index
Allen, David E.
-
2019
DOW JONES index adjusted-price series obtained from Yahoo Finance. Both series are adjusted for monthly
USA
CPI values to …
Persistent link: https://www.econbiz.de/10012888683
Saved in:
10
How are VIX and stock index ETF related?
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2016
-
Revised: February 2016
. Daily data on ETF returns that follow different stock indexes in the
USA
and Europe are used in the empirical analysis. The …
Persistent link: https://www.econbiz.de/10011441620
Saved in:
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