//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
isPartOf:"Econometric Institute research papers"
~subject:"Spillover effect"
~subject:"Volatilität"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Abnormal return"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Spillover effect
Volatilität
Capital market returns
26
Kapitalmarktrendite
26
Volatility
18
ARCH model
9
ARCH-Modell
9
USA
8
United States
8
Spillover-Effekt
6
Aktienindex
5
Stock index
5
Aktienmarkt
4
Börsenkurs
4
Estimation
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Schätzung
4
Share price
4
Stochastic process
4
Stochastischer Prozess
4
Stock market
4
Time series analysis
4
Zeitreihenanalyse
4
Financial analysis
3
Financial economics
3
Finanzanalyse
3
Forecasting model
3
Futures
3
Index
3
Index number
3
Kapitalmarkttheorie
3
Portfolio selection
3
Portfolio-Management
3
Prognoseverfahren
3
Stochastic volatility
3
Stochastische Volatilität
3
ARMA model
2
ARMA-Modell
2
Biofuel
2
more ...
less ...
Online availability
All
Free
19
Type of publication
All
Book / Working Paper
19
Type of publication (narrower categories)
All
Arbeitspapier
19
Graue Literatur
19
Non-commercial literature
19
Working Paper
19
Language
All
English
19
Author
All
McAleer, Michael
19
Chang, Chia-Lin
8
Asai, Manabu
4
Allen, David E.
2
Hsieh, Tai-Lin
2
Lambertides, Neophytos
2
Martinet, Guillaume Gaetan
2
Powell, Robert
2
Savva, Christos S.
2
Singh, Abhay Kumar
2
Wang, Yu-Ann
2
Zopiatis, Anastasios
2
Caporin, Massimiliano
1
Chen, Jinghui
1
Hafner, Christian M.
1
Ilomäki, Jukka
1
Kobayashi, Masahito
1
Laurila, Hannu
1
more ...
less ...
Published in...
All
Econometric Institute research papers
The journal of futures markets
19
Discussion paper / Tinbergen Institute
17
Journal of financial and quantitative analysis : JFQA
16
Energy economics
13
Working paper / National Bureau of Economic Research, Inc.
13
NBER working paper series
10
Finance research letters
9
NBER Working Paper
9
International review of financial analysis
8
Journal of banking & finance
8
Pacific-Basin finance journal
8
Applied economics
7
Discussion paper / Centre for Economic Policy Research
7
Journal of financial economics
7
Journal of international financial markets, institutions & money
7
Journal of risk and financial management : JRFM
7
International review of economics & finance : IREF
6
International review of finance
6
The journal of finance : the journal of the American Finance Association
6
The review of financial studies
6
Working paper
6
Documento de trabajo / Pontifícia Universidad Católica del Perú, Departamento de Economía
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
The North American journal of economics and finance : a journal of financial economics studies
5
Economic modelling
4
Economics letters
4
Finance India : the quarterly journal of Indian Institute of Finance
4
International Journal of Energy Economics and Policy : IJEEP
4
Research in international business and finance
4
Review of asset pricing studies
4
CESifo working papers
3
Cambridge working papers in economics
3
Discussion paper / LSE Financial Markets Group
3
ECON PhD dissertations
3
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
3
Emerging markets, finance and trade : EMFT
3
IMF working papers
3
Journal of applied econometrics
3
Journal of econometrics
3
more ...
less ...
Source
All
ECONIS (ZBW)
19
Showing
1
-
19
of
19
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011823293
Saved in:
2
Long run returns predictability and volatility with moving averages
Chang, Chia-Lin
;
Ilomäki, Jukka
;
Laurila, Hannu
; …
-
2018
Persistent link: https://www.econbiz.de/10011920696
Saved in:
3
Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2018
-
Revised: September 2018
Persistent link: https://www.econbiz.de/10011920700
Saved in:
4
Tourism stocks in times of crises : an econometric investigation of unexpected non-macroeconomic factors
Zopiatis, Anastasios
;
Savva, Christos S.
;
Lambertides, …
-
2017
-
Revised: June 2017
Persistent link: https://www.econbiz.de/10011668137
Saved in:
5
Connecting VIX and stock index ETF
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2017
-
Revised: January 2017
Persistent link: https://www.econbiz.de/10011823316
Saved in:
6
Forecasting the volatility of Nikkei 225 futures
Asai, Manabu
;
McAleer, Michael
-
2017
-
Revised: January 2017
Persistent link: https://www.econbiz.de/10011823321
Saved in:
7
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011432792
Saved in:
8
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2016
Persistent link: https://www.econbiz.de/10011823323
Saved in:
9
Tourism stocks in times of crises : an econometric investigation of non-macro factors
Zopiatis, Anastasios
;
Savva, Christos S.
;
Lambertides, …
-
2016
Persistent link: https://www.econbiz.de/10011823329
Saved in:
10
Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2016
-
Revised
Persistent link: https://www.econbiz.de/10011448000
Saved in:
11
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui
;
Kobayashi, Masahito
;
McAleer, Michael
-
2016
-
Revised
Persistent link: https://www.econbiz.de/10011448006
Saved in:
12
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011631770
Saved in:
13
Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2016
-
Revised: December 2016
Persistent link: https://www.econbiz.de/10011631784
Saved in:
14
Multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2015
Persistent link: https://www.econbiz.de/10011432589
Saved in:
15
On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2015
-
Revised: February 2015
Persistent link: https://www.econbiz.de/10011346214
Saved in:
16
The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu
;
McAleer, Michael
-
2015
Persistent link: https://www.econbiz.de/10011346236
Saved in:
17
Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin
;
McAleer, Michael
-
2015
Persistent link: https://www.econbiz.de/10011346289
Saved in:
18
On the Invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010438059
Saved in:
19
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010438068
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->