Otros recursos de McAleer, Michael

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

  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 ...

  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 ...

  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 ...

  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 ...

  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 ...

  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 ...

  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 ...

  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 ( ...

  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 ...

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