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Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669311
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Time series modelling of tourism demand from the USA, Japan and Malaysia to Thailand
Chaovanapoonphol, Yaovarate; Lim, Christine; McAleer, … - 2010
Persistent link: https://www.econbiz.de/10008669316
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Forecasting value-at-risk using nonlinear regression quantiles and the intra-day range
Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - 2011
Persistent link: https://www.econbiz.de/10009011936
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Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - 2011
Persistent link: https://www.econbiz.de/10009012018
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Evaluating individual and mean non-replicable forecasts
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009012026
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Causality between market liquidity and depth for energy and grains
Sari, Ramazan; Hammoudeh, Shawkat; Chang, Chia-Lin; … - 2011
Persistent link: https://www.econbiz.de/10009012031
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Risk management of risk under the Basel Accord : forecasting value-at-risk of VIX futures
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2011
Persistent link: https://www.econbiz.de/10009012209
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Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao; McAleer, Michael; Oya, Kosuke - 2011 - 1. version, rev.
Persistent link: https://www.econbiz.de/10009012211
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How are journal impact, prestige and article influence related? : an application to neuroscience
Chang, Chia-Lin; McAleer, Michael; Oxley, Les - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009012230
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International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009012232