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~institution:"Institute of Economic Research, Kyoto University"
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GARCH
3
Multivariate GARCH
3
Volatility spillovers
3
conditional correlations
3
crude oil prices
3
volatility spillovers
3
EGARCH
2
GJR
2
futures returns
2
multivariate GARCH
2
spot returns
2
ASEAN
1
Chinese stock market
1
Cholesky-GARCH
1
ENSO
1
Greenhouse Gas Emissions
1
HAR
1
International tourist arrivals
1
Markov-switching GARCH
1
Nonlinear time series
1
SOI
1
SOT
1
STAR
1
Time-varying correlations
1
Tourism demand
1
VARMA-AGARCH
1
VARMA-GARCH
1
Volatility
1
approximate long memory
1
asymmetry
1
asymptotic theory
1
conditional correlation
1
daily effects
1
economic development
1
exchange rates
1
forward and futures prices
1
forward returns
1
global financial crisis
1
hedging strategies
1
interdependence
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McAleer, Michael
10
Chang, Chia-Lin
6
Tansuchat, Roengchai
5
Khamkaew, Thanchanok
2
Allen, David
1
Allen, David E
1
Amram, Ron
1
Chan, Felix
1
Chen, Chi-Chung
1
Chu, LanFen
1
Medeiros, Marcelo C.
1
Powell, Robert J
1
Singh, Abhay Kumar
1
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Institute of Economic Research, Kyoto University
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
231
EconWPA
48
HAL
41
School of Economics and Management, University of Aarhus
41
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
34
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
32
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
26
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
25
Erasmus University Rotterdam, Econometric Institute
25
Society for Computational Economics - SCE
23
Tinbergen Instituut
23
Institut für Schweizerisches Bankwesen <Zürich>
22
Center for Financial Studies
21
Econometric Society
21
Institut de Préparation à l'Administration et à la Gestion (IPAG)
21
National Bureau of Economic Research
21
CESifo
19
Henley Business School, University of Reading
17
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
17
Tinbergen Institute
17
Agricultural and Applied Economics Association - AAEA
16
Ekonomiska forskningsinstitutet <Stockholm>
15
European Central Bank
15
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
14
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
13
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
13
Université Paris-Dauphine (Paris IX)
13
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
12
Department of Economics, National University of Ireland
11
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
11
Tilburg University, Center for Economic Research
11
Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
11
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
10
Centre for Analytical Finance <Århus>
10
Department of Economics and Finance, College of Business and Economics
10
Department of Economics and Related Studies, University of York
10
Finance Discipline Group, Business School
10
Institut für Weltwirtschaft (IfW)
9
Institutionen för Nationalekonomi, Umeå Universitet
9
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KIER Working Papers
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RePEc
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1
Volatility spillovers from the US to Australia and China across the GFC
Allen, David E
;
McAleer, Michael
;
Powell, Robert J
; …
-
Institute of Economic Research, Kyoto University
-
2012
September 2012. This captures the impact of the Global Financial Crisis (GFC). The
GARCH
analysis features an exploration of … US. We also apply a Markov Switching
GARCH
model to explore the existence of regime changes during this period and we … also apply a tri-variate Cholesky-
GARCH
model to include potential effects from the Chinese market, as represented by the …
Persistent link: https://www.econbiz.de/10011255400
Saved in:
2
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours
McAleer, Michael
;
Allen, David
;
Amram, Ron
-
Institute of Economic Research, Kyoto University
-
2011
effects, we explore these issues using an Autoregressive Moving Average (ARMA) return equation. A univariate
GARCH
model is …. Finally, univariate
GARCH
, multivariate VARMA-
GARCH
, and multivariate VARMA-AGARCH models are used to test for constant …
Persistent link: https://www.econbiz.de/10009390617
Saved in:
3
Crude Oil Hedging Strategies Using Dynamic Multivariate
GARCH
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
Institute of Economic Research, Kyoto University
-
2010
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-
GARCH
, DCC, BEKK and … CCC and VARMA-
GARCH
suggest holding crude oil spot to futures. In addition, the calculated optimal hedge ratios (OHRs …
Persistent link: https://www.econbiz.de/10008751339
Saved in:
4
Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
; …
-
Institute of Economic Research, Kyoto University
-
2010
International and domestic tourism are leading economic activities in the world today. Tourism has been known to generate goods and services directly and indirectly, attract foreign currency, stimulate employment, and provide opportunities for investment. It has also been recognized as an...
Persistent link: https://www.econbiz.de/10008506264
Saved in:
5
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin
;
McAleer, Michael
-
Institute of Economic Research, Kyoto University
-
2010
TTourism is a major source of service receipts. The two leading tourism countries for Taiwan are Japan and USA. Daily data from 1/1/1990 to 31/12/2008 are used to model tourist arrivals from the world, USA and Japan to Taiwan, as well as their associated volatility. Inclusion of the exchange...
Persistent link: https://www.econbiz.de/10008489840
Saved in:
6
Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
Institute of Economic Research, Kyoto University
-
2010
index returns, are analysed using the CCC model of Bollerslev (1990), VARMA-
GARCH
model of Ling and McAleer (2003), VARMA … supported empirically. Surprisingly, the empirical results from the VARMA-
GARCH
and VARMA-AGARCH models provide little evidence … positive shocks of equal magnitude on the conditional variances suggests that VARMA-AGARCH is superior to VARMA-
GARCH
and CCC. …
Persistent link: https://www.econbiz.de/10008490236
Saved in:
7
Structure and Asymptotic Theory for Nonlinear Models with
GARCH
Errors
Chan, Felix
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
Institute of Economic Research, Kyoto University
-
2010
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order
GARCH
errors. …
Persistent link: https://www.econbiz.de/10008774524
Saved in:
8
How Volatile is ENSO?
Chu, LanFen
;
McAleer, Michael
;
Chen, Chi-Chung
-
Institute of Economic Research, Kyoto University
-
2010
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10008677573
Saved in:
9
Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
Institute of Economic Research, Kyoto University
-
2010
and within the four markets, using three multivariate
GARCH
models, namely the constant conditional correlation (CCC …), vector ARMA-
GARCH
(VARMA-
GARCH
) and vector ARMA-asymmetric
GARCH
(VARMA-AGARCH) models. A rolling window approach is used to …
Persistent link: https://www.econbiz.de/10008461877
Saved in:
10
Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
; …
-
Institute of Economic Research, Kyoto University
-
2010
, Japan and Singapore. The analysis is conducted using several alternative multivariate
GARCH
models. The empirical results … the VARMA-
GARCH
model and the VARMA-AGARCH model suggest the presence of volatility spillovers and asymmetric effects of …
Persistent link: https://www.econbiz.de/10008642392
Saved in:
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