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Modelling the Asymmetric Volatility in Hog Prices in Taiwan
Chang, Chia-Lin; Huang, Huang, B-W.; Chen, Chen, M-G. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
persistence of symmetry, asymmetry and leverage, respectively. …
Persistent link: https://www.econbiz.de/10010732591
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732596
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models for the …
Persistent link: https://www.econbiz.de/10010732607
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732623
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Ten Things We Should Know About Time Series
McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010
realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of …
Persistent link: https://www.econbiz.de/10010837984
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A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian Matthias - Faculteit der Economische Wetenschappen, Erasmus … - 2014
EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive … and negative effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between …
Persistent link: https://www.econbiz.de/10011149277
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On the Invertibility of EGARCH
McAleer, Michael; Martinet, Martinet, G.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2014
GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of … positive and negative effects of equal magnitude, and leverage, which refers to the negative correlation between the returns …
Persistent link: https://www.econbiz.de/10011149280
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Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002). Some recent research has begun to examine MGARCH...
Persistent link: https://www.econbiz.de/10010731725
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Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2011
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical comparison of a set of models, namely BEKK,...
Persistent link: https://www.econbiz.de/10010837893
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Robust Ranking of Multivariate GARCH Models by Problem Dimension
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2012
During the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an empirical comparison of alternative MGARCH models, namely BEKK,...
Persistent link: https://www.econbiz.de/10010837917