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  • Search: subject:"conditional volatility models"
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Year of publication
Subject
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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
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Online availability
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Free 30 Undetermined 8
Type of publication
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Book / Working Paper 32 Article 10
Type of publication (narrower categories)
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Working Paper 13 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Article in journal 4 Aufsatz in Zeitschrift 4 Article 1
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Language
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English 22 Undetermined 20
Author
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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
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Institution
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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...
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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
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Source
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RePEc 24 ECONIS (ZBW) 11 EconStor 7
Showing 31 - 40 of 42
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Modelling a latent daily Tourism Financial Conditions Index
Chang, Chia-Lin - In: International review of economics & finance : IREF 40 (2015), pp. 113-126
Persistent link: https://www.econbiz.de/10011573563
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Modelling sustainable international tourism demand to the Brazilian Amazon
McAleer, Michael; Divino, Divino, J.A. - Faculteit der Economische Wetenschappen, Erasmus … - 2008
annual data, estimates alternative time series models and conditional volatility models of the shocks to international …
Persistent link: https://www.econbiz.de/10010732604
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Modelling sustainable international tourism demand to the Brazilian Amazon
Divino, J. A.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2008
annual data, estimates alternative time series models and conditional volatility models of the shocks to international … time series models and conditional volatility models of the shocks to international tourist arrivals, and provides …, and the aggregate of the two states. 4. Conditional Mean and Conditional Volatility Models The alternative time …
Persistent link: https://www.econbiz.de/10005056589
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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. - Department of Economics and Finance, College of … - 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/10010907418
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Asymmetry and Leverage in Conditional Volatility Models
McAleer, Michael - Department of Economics and Finance, College of … - 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/10010928922
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The impact of China on stock returns and volatility in the Taiwan tourism industry
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - In: The North American Journal of Economics and Finance 29 (2014) C, pp. 381-401
This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...
Persistent link: https://www.econbiz.de/10010931457
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics : open access journal 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/10010417180
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The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Department of Economics and Finance, College of … - 2013
This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...
Persistent link: https://www.econbiz.de/10010907395
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Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO
Chang, Chia-Lin; Huang, Biing-Wen; Chen, Meng-Gu; … - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1491-1506
Prices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23 March 1999...
Persistent link: https://www.econbiz.de/10010870263
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Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO
Chang, Chia-Lin; Huang, Biing-Wen; Chen, Meng-Gu; … - Department of Economics and Finance, College of … - 2010
Prices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23 March 1999...
Persistent link: https://www.econbiz.de/10008568099
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