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~person:"McAleer, Michael"
~subject:"Schätzung"
~subject:"ARCH model"
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Schätzung
ARCH model
Volatility
108
Volatilität
96
Theorie
73
Theory
73
ARCH-Modell
69
Estimation theory
58
Schätztheorie
58
Eigenfactor
56
Welt
54
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54
Zeitreihenanalyse
54
Estimation
53
Time series analysis
52
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49
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46
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46
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46
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45
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40
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37
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37
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36
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36
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36
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35
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35
h-index
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Capital market returns
31
Kapitalmarktrendite
31
Spillover effect
31
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31
Risk management
25
Stochastic process
25
Stochastischer Prozess
25
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77
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26
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1
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English
108
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McAleer, Michael
Gupta, Rangan
179
Caporale, Guglielmo Maria
149
Wagner, Joachim
144
Gil-Alaña, Luis A.
136
Bahmani-Oskooee, Mohsen
100
Pierdzioch, Christian
88
Schneider, Friedrich
80
Winter-Ebmer, Rudolf
78
Chang, Tsangyao
75
Buch, Claudia M.
72
Woessmann, Ludger
69
Lechner, Michael
68
Egger, Peter
63
Narayan, Paresh Kumar
59
Pesaran, M. Hashem
59
Berg, Gerard J. van den
56
Döpke, Jörg
56
Tiwari, Aviral Kumar
55
Salvanes, Kjell G.
54
Blundell, Richard W.
53
Herwartz, Helmut
53
Belke, Ansgar
52
Entorf, Horst
51
Apergēs, Nikolaos
49
Hayo, Bernd
49
Miller, Stephen M.
49
Wohar, Mark E.
48
Puhani, Patrick A.
47
Riphahn, Regina T.
47
Allen, David E.
46
Gundlach, Erich
46
Voigt, Stefan
45
Yilmazkuday, Hakan
45
Bauer, Thomas K.
44
Smyth, Russell
44
Afonso, António
43
Balcilar, Mehmet
43
Chang, Chia-Lin
43
Görg, Holger
42
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10
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1
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Working paper
45
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24
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5
School of Accounting, Finance and Economics & FEMARC working paper series
5
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4
International review of economics & finance : IREF
4
Applied financial economics
3
The North American journal of economics and finance : a journal of financial economics studies
3
Discussion paper / Tinbergen Institute
2
Tourism economics : the business and finance of tourism and recreation
2
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2
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1
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1
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1
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1
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ECONIS (ZBW)
107
EconStor
1
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51
Asymmetric adjustments in the ethanol and grains markets
Chang, Chia-Lin
;
Chen, Li-Hsueh
;
Hammoudeh, Shawkat
; …
- In:
Energy economics
34
(
2012
)
6
,
pp. 1990-2002
Persistent link: https://www.econbiz.de/10009688901
Saved in:
52
IV estimation of a panel threshold model of tourism specialization and economic development
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
- In:
Tourism economics : the business and finance of tourism …
18
(
2012
)
1
,
pp. 5-41
Persistent link: https://www.econbiz.de/10009518271
Saved in:
53
Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2012
Persistent link: https://www.econbiz.de/10009562958
Saved in:
54
Robust ranking of multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2012
Persistent link: https://www.econbiz.de/10009562979
Saved in:
55
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
Saved in:
56
Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
2011
-
1. version, rev.
Persistent link: https://www.econbiz.de/10009012211
Saved in:
57
Crude oil hedging strategies using dynamic multivariate GARCH
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
Energy economics
33
(
2011
)
5
,
pp. 912-923
Persistent link: https://www.econbiz.de/10009382992
Saved in:
58
Ranking multivariate GARCH models by problem dimension : an empirical evaluation
Caporin, Massimiliano
;
McAleer, Michael
-
2011
Persistent link: https://www.econbiz.de/10009412785
Saved in:
59
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:
60
Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669311
Saved in:
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