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Bayesian Analysis of Realized Matrix-Exponential GARCH Models
Asai, Manabu; McAleer, Michael - 2018
The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and … three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The …
Persistent link: https://www.econbiz.de/10011819520
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Estimation and testing for unit root processes with GARCH(1,1) errors : theory and Monte Carlo evidence
Ling, Shiqing (contributor); Li, Wai Keung (contributor);  … - 2001 - [Elektronische Ressource]
Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1 … ; Brownian motion ; GARCH model ; Least squares estimator ; Maximum likelihood estimator ; Unit root …
Persistent link: https://www.econbiz.de/10001644065
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Estimation and testing for unit root processes with GARCH (1, 1) errors : theory and Monte Carlo evidence
Ling, Shiqing; Li, Wai Keung; McAleer, Michael - In: Econometric reviews 22 (2003) 2, pp. 179-202
Persistent link: https://www.econbiz.de/10001761653
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A Fear Index to Predict Oil Futures Returns
Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 2013
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10010678658
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Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2014
__Abstract__ This note discusses some aspects of the paper by Hu and Tsay (2014), “Principal Volatility Component Analysis”. The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of...
Persistent link: https://www.econbiz.de/10011149300
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Volatility Spillovers from the US to Australia and China across the GFC
Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - Tinbergen Instituut - 2013
September 2012. This captures the impact of the Global Financial Crisis (GFC). The GARCH analysis features an exploration of … US. We also apply a Markov Switching GARCH model to explore the existence of regime changes during this period and we … also apply a tri-variate Cholesky-GARCH model to include potential effects from the Chinese market, as represented by the …
Persistent link: https://www.econbiz.de/10011255545
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Ten Things you should know about the Dynamic Conditional Correlation Representation
Caporin, Massimiliano; McAleer, Michael - Tinbergen Instituut - 2013
See the publication in <I>Econometrics</I> (2013). Volume 1(1), pages 115-126.<P> The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations....</p></i>
Persistent link: https://www.econbiz.de/10011255860
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Market Integration Dynamics and Asymptotic Price Convergence in Distribution
García-Hiernaux, Alfredo; Guerrero, David E.; McAleer, … - Tinbergen Instituut - 2013
In this paper we analyse the market integration process of the relative price distribution, develop a model to analyze market integration, and present a formal test of increasing market integration. We distinguish between the economic concepts of price convergence in mean and in variance. When...
Persistent link: https://www.econbiz.de/10011255992
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Ten Things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - Tinbergen Instituut - 2013
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10011256093
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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2013
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...
Persistent link: https://www.econbiz.de/10011256372