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Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010417180

Interconnections between Eurozone and us booms and us busts using a Bayesian panel Markov-switching VAR model

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: Journal of applied econometrics 31 (2016) 7, pp. 1352-1370

Persistent link: https://www.econbiz.de/10011687515

Optimal portfolio choice under decision-based model combinations

Pettenuzzo, Davide; Ravazzolo, Francesco - In: Journal of applied econometrics 31 (2016) 7, pp. 1312-1332

Persistent link: https://www.econbiz.de/10011687755

Using entropic tilting to combine BVAR forecasts with external nowcasts

Krüger, Fabian; Clark, Todd E.; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 470-485

Persistent link: https://www.econbiz.de/10011705954

Moment restriction-based econometric methods : an overview

Kunitomo, Naoto; McAleer, Michael; Nishiyama, Yoshihiko - In: Journal of econometrics 165 (2011) 1, pp. 1-4

Persistent link: https://www.econbiz.de/10009374510

How accurate are government forecasts of economic fundamentals? : the case of Taiwan

Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - In: International journal of forecasting 27 (2011) 4, pp. 1066-1075

Persistent link: https://www.econbiz.de/10009316905

The rise and fall of S&P500 variance futures

Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167

Persistent link: https://www.econbiz.de/10009779314

Combination schemes for turning point predictions

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: The quarterly review of economics and finance : journal … 52 (2012) 4, pp. 402-412

Persistent link: https://www.econbiz.de/10009700545

Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models

Caporin, Massimiliano; McAleer, Michael - In: Journal of economic surveys 26 (2012) 4, pp. 736-751

Persistent link: https://www.econbiz.de/10009712816

Real-time inflation forecasting in a changing world

Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 1, pp. 29-44

Persistent link: https://www.econbiz.de/10009715102