Otros recursos de McAleer, Michael

Resultados 1 - 10 de 1.022 de McAleer, Michael. (0 segundos)


Documentos:
  1. Realized Stochastic Volatility with General Asymmetry and Long Memory (�)

    Manabu Asai; Chia-Lin Chang; Michael McAleer
    The paper develops a novel realized stochastic volatility model of asset returns and realized volati ...
    22-abr-2017

  2. A fractionally integrated Wishart stochastic volatility model (�)

    Manabu Asai; Michael McAleer
    There has recently been growing interest in modeling and estimating alternative continuous time mult ...
    22-abr-2017

  3. Herding, Information Cascades and Volatility Spillovers in Futures Markets (�)

    Michael McAleer; Kim Radalj
    Economists and financial analysts have begun to recognise the importance of the actions of other age ...
    22-abr-2017

  4. Testing for volatility co-movement in bivariate stochastic volatility models (�)

    Kobayashi, Masahito; Chen, Jinghui; McAleer, Michael
    The paper considers the problem of volatility co-movement, namely as to whether two financial return ...
    03-mar-2017

  5. Testing for volatility co-movement in bivariate stochastic volatility models (�)

    Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael
    The paper considers the problem of volatility co-movement, namely as to whether two financial return ...
    (application/pdf) 14-mar-2017

  6. Connecting VIX and Stock Index ETF (�)

    Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael
    As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Fund ...
    12-feb-2017

  7. Forecasting the Volatility of Nikkei 225 Futures (�)

    Asai, Manabu; McAleer, Michael
    For forecasting volatility of futures returns, the paper proposes an indirect method based on the re ...
    12-feb-2017

  8. The Fiction of Full BEKK (�)

    Chang, Chia-Lin; McAleer, Michael
    The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARC ...
    12-feb-2017

  9. Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization (�)

    Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing-Keung
    This paper considers the portfolio problem for high dimensional data when the dimension and size are ...
    12-feb-2017

  10. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices (�)

    Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann
    The recent and rapidly growing interest in biofuel as a green energy source has raised concerns abou ...
    06-feb-2017

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