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Year of publication
Subject
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Theorie 81 Theory 81 Volatility 76 Volatilität 76 ARCH model 50 ARCH-Modell 50 Estimation 38 Estimation theory 38 Schätztheorie 38 Schätzung 37 Time series analysis 36 Zeitreihenanalyse 36 Stochastic process 30 Stochastischer Prozess 30 Forecasting model 25 Prognoseverfahren 25 Börsenkurs 23 Share price 23 Welt 23 World 23 Portfolio selection 20 Portfolio-Management 20 USA 20 United States 20 Risikomanagement 19 Risikomaß 19 Risk management 19 Risk measure 19 Capital income 15 Kapitaleinkommen 15 Commodity derivative 14 Rohstoffderivat 14 Spillover effect 14 Spillover-Effekt 14 Capital market returns 13 Correlation 13 Kapitalmarktrendite 13 Korrelation 13 Econometrics 12 Financial crisis 12
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Online availability
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Undetermined 54 Free 33 CC license 14
Type of publication
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Article 238 Book / Working Paper 7
Type of publication (narrower categories)
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Article in journal Working Paper 733 Arbeitspapier 594 Graue Literatur 558 Non-commercial literature 558 Aufsatz in Zeitschrift 245 Article 37 Aufsatz im Buch 17 Book section 17 Collection of articles of several authors 12 Sammelwerk 12 Systematic review 9 Übersichtsarbeit 9 Aufsatzsammlung 3 Bibliografie enthalten 3 Bibliography included 3 research-article 3 Festschrift 2 Konferenzschrift 2 Nachruf 2 Conference proceedings 1
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Language
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English French 1
Author
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McAleer, Michael Gupta, Rangan 609 Bahmani-Oskooee, Mohsen 459 Nijkamp, Peter 434 Cheng, T. C. E. 386 Gil-Alaña, Luis A. 376 Hassan, M. Kabir 373 Audretsch, David B. 366 Apergēs, Nikolaos 354 Lee, Chien-Chiang 332 Wright, Mike 327 Tiwari, Aviral Kumar 323 Narayan, Paresh Kumar 314 Kraus, Sascha 313 Fabozzi, Frank J. 306 Zhang, Wei 304 Tsionas, Efthymios G. 295 Law, Rob 294 Eichengreen, Barry 293 Hasan, Iftekhar 291 Cebula, Richard J. 287 Lien, Da-hsiang Donald 286 Chan, Kam C. 276 Yang, Yang 275 Smyth, Russell 273 Phillips, Peter C. B. 270 Liu, Yang 267 Faff, Robert W. 266 Vrontis, Demetris 263 Beladi, Hamid 260 Caporale, Guglielmo Maria 260 Creedy, John 253 Kumbhakar, Subal 247 Egger, Peter 245 Frey, Bruno S. 245 Han, Heesup 245 Li, Jing 245 Güth, Werner 244 Serletis, Apostolos 244 Wang, Wei 244
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Published in...
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Journal of economic surveys 26 Journal of econometrics 21 Journal of risk and financial management : JRFM 21 Econometric reviews 20 Annals of financial economics 16 Applied economics 13 International review of economics & finance : IREF 9 Energy economics 7 Risks : open access journal 7 The North American journal of economics and finance : a journal of financial economics studies 7 Econometric theory 6 Econometrics : open access journal 6 International journal of forecasting 6 Applied financial economics 5 Journal of forecasting 5 The Japanese economic review : the journal of the Japanese Economic Association 5 Tourism economics : the business and finance of tourism and recreation 5 Economics letters 4 Tourism management : research, policies, practice 4 Journal of applied econometrics 3 Managerial finance 3 Finance research letters 2 Journal of financial econometrics : official journal of the Society for Financial Econometrics 2 Journal of macroeconomics 2 Journal of time series econometrics 2 Journal of travel research : a quarterly publication of the Travel and Tourism Research Association 2 The econometrics journal 2 The economic journal : the journal of the Royal Economic Society 2 The economic record : er 2 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 2 The review of economics and statistics 2 Accounting and finance : journal of the Accounting Association of Australia and New Zealand 1 Applied economics letters 1 Bulletin of economic research 1 Computational economics 1 Economia : revista da ANPEC 1 Economic modelling 1 Economics of innovation and new technology 1 Economies : open access journal 1 International Journal of Financial Studies : open access journal 1
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Source
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ECONIS (ZBW) 245
Showing 1 - 10 of 245
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Drawbacks in the 3-factor approach of fama and French (2018)
Allen, David E.; McAleer, Michael - In: Annals of financial economics 18 (2023) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10014442370
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
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Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
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A Nonlinear Autoregressive Distributed Lag (NARDL) analysis of the FTSE and S&P500 indexes
Allen, David E.; McAleer, Michael - In: Risks : open access journal 9 (2021) 11, pp. 1-20
The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of...
Persistent link: https://www.econbiz.de/10012704014
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Spurious relationships for nearly non-stationary series
Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24
Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...
Persistent link: https://www.econbiz.de/10012626690
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Asymptotic and finite sample properties for multivariate rotated GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...
Persistent link: https://www.econbiz.de/10012547429
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Asset investment diversification, bankruptcy risk and the mediating role of business diversification
Vu Huu Thanh; Nguyen Minh Ha; McAleer, Michael - In: Annals of financial economics 16 (2021) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10012650173
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Zero-inflated poisson regression models : aplications in the sciences and social sciences
Truong, Buu-chau; Pho, Kim-Hung; Dinh, Cong-chanh; … - In: Annals of financial economics 16 (2021) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10012656863
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Evaluating the efficiency of Vietnam banks using data envelopment analysis
Do Thi Thanh Nhan; Pho, Kim-Hung; Anh, Dang Thi Van; … - In: Annals of financial economics 16 (2021) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10012657666
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