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  • Search: subject:"Conditional Volatility Models"
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Year of publication
Subject
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conditional volatility models 16 asymmetry 15 leverage 12 Volatility 7 Volatilität 7 random coefficient complex nonlinear moving average process 7 ARCH model 6 ARCH-Modell 6 Conditional Volatility Models 6 Tourism 6 Conditional volatility models 5 firm size 5 random coefficient autoregressive processes 5 volatility size effects 5 DJIA 4 Sentiment Scores 4 TRNA 4 stock returns 4 Brazilian Amazon 3 Börsenkurs 3 Firm size 3 Share price 3 Time series analysis 3 Zeitreihenanalyse 3 joining the WTO 3 moment conditions 3 tourism policy reform 3 Asymmetric risk 2 Asymmetry 2 BEKK 2 Betriebsgröße 2 Capital income 2 China 2 DCC 2 EGARCH 2 Heterogeneous AutoRegressive (HAR) models 2 Kapitaleinkommen 2 Stochastic process 2 Stochastischer Prozess 2 Stock returns 2
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Online availability
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Free 30
Type of publication
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Book / Working Paper 28 Article 2
Type of publication (narrower categories)
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Working Paper 13 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Article 1
Language
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English 17 Undetermined 13
Author
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McAleer, Michael 25 Chang, Chia-Lin 16 Hsu, Hui-Kuang 6 Allen, David E. 3 Singh, Abhay K. 3 Divino, Jose Angelo 2 Hsu, Shu-Han 2 Li, Yiying 2 Allen, David Edmund 1 Chang, C-L. 1 Chen, Chen, M-G. 1 Chen, M.-G. 1 Chen, Meng-Gu 1 Divino, Divino, J.A. 1 Divino, J. A. 1 Hsu, Hsu, H-K. 1 Huang, B-W. 1 Huang, Biing-Wen 1 Huang, Huang, B-W. 1 McAleer, M.J. 1 Singh, Abhay Kumar 1
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Institution
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 5 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 3 Tinbergen Instituut 3 Erasmus University Rotterdam, Econometric Institute 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2
Published in...
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Discussion paper / Tinbergen Institute 6 Tinbergen Institute Discussion Paper 6 Documentos de Trabajo del ICAE 5 Econometric Institute Research Papers 3 Tinbergen Institute Discussion Papers 3 Econometric Institute Report 2 Econometrics 2 MPRA Paper 2 Econometric Institute research papers 1
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Source
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RePEc 16 ECONIS (ZBW) 7 EconStor 7
Showing 1 - 10 of 30
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Asymmetric Risk Impacts of Chinese Tourists to Taiwan
Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018
volatility models, namely GARCH(1,1), GJR(1,1) and EGARCH(1,1), are used to measure the short-run and long-run persistence of … to link the change rate of tourist arrivals and the change in tourist revenues. Three widely-used univariate conditional …
Persistent link: https://www.econbiz.de/10011932318
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Asymmetric risk impacts of Chinese tourists to Taiwan
Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018
volatility models, namely GARCH(1,1), GJR(1,1) and EGARCH(1,1), are used to measure the short-run and long-run persistence of … to link the change rate of tourist arrivals and the change in tourist revenues. Three widely-used univariate conditional …
Persistent link: https://www.econbiz.de/10011848107
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The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive …
Persistent link: https://www.econbiz.de/10011819449
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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive …
Persistent link: https://www.econbiz.de/10011688332
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Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015
conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …
Persistent link: https://www.econbiz.de/10011403535
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Volatility spillovers between energy and agricultural markets : a critical appraisal of theory and practice
Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015
conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …
Persistent link: https://www.econbiz.de/10011295732
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Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
Allen, David E.; McAleer, Michael; Singh, Abhay K. - 2014
This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia...
Persistent link: https://www.econbiz.de/10010377198
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150
The three most popular univariate conditional volatility models are the generalized autoregressive conditional … models; and (3) to present the interpretation of the parameters of the three popular univariate conditional volatility models …
Persistent link: https://www.econbiz.de/10010421299
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Asymmetry and Leverage in Conditional Volatility Models
McAleer, Michael - 2014
The three most popular univariate conditional volatility models are the generalized autoregressive conditional … appropriate regularity conditions; and (2) to show that leverage is not possible in these univariate conditional volatility models. …
Persistent link: https://www.econbiz.de/10010491351
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Modelling a Latent Daily Tourism Financial Conditions Index
Chang, Chia-Lin - Volkswirtschaftliche Fakultät, … - 2014
Ordinary Least Squares (OLS) or Quasi-Maximum Likelihood Estimation (QMLE) of alternative conditional volatility models. Three … univariate conditional volatility models are considered, namely GARCH, GJR and EGARCH, in an attempt to capture the inherent …
Persistent link: https://www.econbiz.de/10011109105
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