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~person:"McAleer, Michael"
~subject:"ARCH model"
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ARCH model
Portfolio selection
73
Portfolio-Management
73
Risikomaß
36
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36
Volatilität
34
Volatility
33
Basel Accord
26
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22
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19
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McAleer, Michael
Ledoit, Olivier
12
Chang, Chia-Lin
11
Wolf, Michael
11
Engle, Robert F.
8
Bollerslev, Tim
7
Christoffersen, Peter F.
7
De Nard, Gianluca
7
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7
Hammoudeh, Shawkat
7
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7
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6
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6
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5
Kang, Sang Hoon
5
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5
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4
Arouri, Mohamed
4
Bauwens, Luc
4
Bouri, Elie
4
Caporin, Massimiliano
4
Guesmi, Khaled
4
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4
Hafner, Christian M.
4
Herwartz, Helmut
4
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4
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4
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4
Polak, Pawel
4
Trucíos, Carlos
4
Wang, Yi-Hsien
4
Wang, Yudong
4
Xuan Vinh Vo
4
Yoon, Seong-min
4
Aboura, Sofiane
3
Al-Yahyaee, Khamis Hamed
3
Andersen, Torben G.
3
Ardia, David
3
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3
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2
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2
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1
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1
International journal of forecasting
1
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ECONIS (ZBW)
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1
Is small beautiful? : size effects of volatility spillovers for firm
performance
and exchange rates in tourism
Chang, Chia-Lin
;
Hsu, Hui-kuang
;
McAleer, Michael
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 519-534
Persistent link: https://www.econbiz.de/10010367563
Saved in:
2
Is small beautiful? Size effects of volatility spillovers for firm
performance
and exchange rates in tourism
Chang, Chia-Lin
;
Hsu, Hui-Kuang
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724114
Saved in:
3
Is small beautiful? : size effects of volatility spillovers for firm
performance
and exchange rates in tourism
Chang, Chia-Lin
;
Hsu, Hui-kuang
;
McAleer, Michael
-
2012
Persistent link: https://www.econbiz.de/10010360672
Saved in:
4
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619346
Saved in:
5
The rise and fall of S&P 500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009413649
Saved in:
6
Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987324
Saved in:
7
Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai
-
2010
The paper examines the
performance
of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for …
Persistent link: https://www.econbiz.de/10013149486
Saved in:
8
Shock and volatility spillovers among equity sectors of the gulf Arab stock markets
Hammoudeh, Shawkat M.
(
contributor
);
Yuan, Yuan
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003780792
Saved in:
9
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
Saved in:
10
Crude oil hedging strategies using dynamic multivariate GARCH
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
Energy economics
33
(
2011
)
5
,
pp. 912-923
Persistent link: https://www.econbiz.de/10009382992
Saved in:
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