EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"conditional volatility models"
Narrow search

Narrow search

Year of publication
Subject
All
asymmetry 20 conditional volatility models 19 leverage 16 Conditional volatility models 11 Volatility 11 Volatilität 11 ARCH model 10 ARCH-Modell 10 Tourism 9 random coefficient complex nonlinear moving average process 9 Conditional Volatility Models 7 random coefficient autoregressive processes 7 Asymmetry 6 Time series analysis 6 Zeitreihenanalyse 6 firm size 6 volatility size effects 6 DJIA 5 Sentiment Scores 5 TRNA 5 stock returns 5 Börsenkurs 4 Firm size 4 Share price 4 Stochastic process 4 Stochastischer Prozess 4 joining the WTO 4 moment conditions 4 tourism policy reform 4 Brazilian Amazon 3 EGARCH 3 Estimation 3 Hog prices 3 Modellierung 3 Schätzung 3 Scientific modelling 3 Stock returns 3 Theorie 3 Theory 3 Tourism policy reform 3
more ... less ...
Online availability
All
Free 30 Undetermined 8
Type of publication
All
Book / Working Paper 32 Article 10
Type of publication (narrower categories)
All
Working Paper 13 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Article in journal 4 Aufsatz in Zeitschrift 4 Article 1
more ... less ...
Language
All
English 22 Undetermined 20
Author
All
McAleer, Michael 35 Chang, Chia-Lin 23 Hsu, Hui-Kuang 8 Allen, David E. 4 Chen, Meng-Gu 4 Huang, Biing-Wen 4 Singh, Abhay K. 4 Divino, Jose Angelo 2 Hsu, Shu-Han 2 Li, Yiying 2 Allen, David Edmund 1 Caporin, Massimiliano 1 Chan, Felix 1 Chang, C-L. 1 Chen, Chen, M-G. 1 Chen, M.-G. 1 Costola, Michele 1 Divino, Divino, J.A. 1 Divino, J. A. 1 Hoti, Suhejla 1 Hsu, Hsu, H-K. 1 Huang, B-W. 1 Huang, Huang, B-W. 1 McAleer, M.J. 1 Singh, Abhay Kumar 1
more ... less ...
Institution
All
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 5 Department of Economics and Finance, College of Business and Economics 4 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...
All
Discussion paper / Tinbergen Institute 6 Tinbergen Institute Discussion Paper 6 Documentos de Trabajo del ICAE 5 Working Papers in Economics 4 Econometric Institute Research Papers 3 Mathematics and Computers in Simulation (MATCOM) 3 Tinbergen Institute Discussion Papers 3 Econometric Institute Report 2 Econometrics 2 MPRA Paper 2 Applied economics 1 Econometric Institute research papers 1 Econometrics : open access journal 1 Economics letters 1 International review of economics & finance : IREF 1 The North American Journal of Economics and Finance 1
more ... less ...
Source
All
RePEc 24 ECONIS (ZBW) 11 EconStor 7
Showing 1 - 10 of 42
Cover Image
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
Saved in:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
Cover Image
Asymmetry and leverage in GARCH models : a News Impact Curve perspective
Caporin, Massimiliano; Costola, Michele - In: Applied economics 51 (2019) 31, pp. 3345-3364
Persistent link: https://www.econbiz.de/10012196836
Saved in:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...