Otros recursos de McAleer, Michael

Resultados 1 - 10 de 1.018 de McAleer, Michael. (0,03 segundos)


Documentos:
  1. 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) 22-feb-2017

  2. 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

  3. 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

  4. 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

  5. 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

  6. 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

  7. A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies (�)

    Allen, David E; McAleer, Michael; Singh, Abhay K.
    This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nin ...
    06-feb-2017

  8. Joint and Cross-border Patents as Proxies for International Technology Diffusion (�)

    Chang, Chia-Lin; McAleer, Michael; Tang, Ju-Ting
    With the advent of globalization, economic and financial interactions among countries have become wi ...
    04-feb-2017

  9. An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series (�)

    Allen, David E; McAleer, Michael; Singh, Abhay K.
    This paper features an analysis of the relationship between the DOW JONES Industrial Average Index ( ...
    04-feb-2017

  10. Tourism stocks in times of crises:: An econometric investigation of non-macro factors (�)

    Zopiatis, Anastasios; Savva, Christos S.; Lambertides, Neophytos; McAleer, Michael
    Following the recent terrorist attacks in Paris, the European media emphatically pronounced that bil ...
    04-feb-2017

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