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~person:"McAleer, Michael"
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BEKK
8
DCC
8
Herding
7
Principal Component Analysis
7
Volatilität
7
asymptotic properties
7
Principal Volatility Component Analysis
6
Time-varying correlations
6
Vector time-varying conditional heteroskedasticity
6
causality-in-variance
6
currency and commodity markets
6
futures and spot markets
6
hedging
6
noise traders
6
speculation
6
spillovers
6
time-varying volatility
6
Cholesky-GARCH
5
Markov-switching GARCH
5
Volatility
5
Volatility spillovers
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Spillover-Effekt
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ARCH model
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ARCH-Modell
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Hauptkomponentenanalyse
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Principal component analysis
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Theorie
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Theory
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Time series analysis
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Time-varying volatility
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Zeitreihenanalyse
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Australien
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Börsenkurs
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Causality-in-variance
2
China
2
Currency and commodity markets
2
Futures and spot markets
2
Hedging
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Herdenverhalten
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Kapitaleinkommen
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Free
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Arbeitspapier
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English
9
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McAleer, Michael
Gupta, Rangan
85
Koopman, Siem Jan
72
Lucas, André
54
Koop, Gary
40
Afonso, António
38
Balcilar, Mehmet
34
Korobilis, Dimitris
32
Marcellino, Massimiliano
27
Su, Chi-Wei
27
Blasques, Francisco
26
Huber, Florian
26
Schlicht, Ekkehart
25
Teräsvirta, Timo
25
Kapetanios, George
23
Tavlas, George S.
23
Gambetti, Luca
22
Mumtaz, Haroon
22
Sarferaz, Samad
21
Beckmann, Joscha
20
Benati, Luca
19
Gao, Jiti
19
Jalles, João Tovar
19
Miller, Stephen M.
19
Belke, Ansgar
18
Aye, Goodness C.
17
Schaumburg, Julia
17
Strachan, Rodney W.
17
Giraitis, Liudas
16
Guesmi, Khaled
16
Karlsson, Sune
16
Sosvilla-Rivero, Simón
16
Österholm, Pär
16
Caporale, Guglielmo Maria
15
Dijk, Herman K. van
15
Darvas, Zsolt
14
Filis, George
14
Franta, Michal
14
Hall, Stephen G.
14
Hammoudeh, Shawkat
14
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
3
Tinbergen Instituut
3
Department of Economics and Finance, College of Business and Economics
2
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
Institute of Economic Research, Kyoto University
2
East Asian Bureau of Economic Research (EABER)
1
School of Business, Edith Cowan University
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RePEc
18
ECONIS (ZBW)
5
EconStor
3
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1
Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2014
caveats are given about multivariate models of
time-varying
conditional covariance and correlation models. …
Persistent link: https://www.econbiz.de/10011149300
Saved in:
2
Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
Tinbergen Instituut
-
2014
about multivariate models of
time-varying
conditional covariance and correlation models. …
Persistent link: https://www.econbiz.de/10011257320
Saved in:
3
Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
Facultad de Ciencias Económicas y Empresariales, …
-
2014
about multivariate models of
time-varying
conditional covariance and correlation models. …
Persistent link: https://www.econbiz.de/10010795051
Saved in:
4
Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
2014
about multivariate models of
time-varying
conditional covariance and correlation models. …
Persistent link: https://www.econbiz.de/10010377227
Saved in:
5
Discussion of "principal volatility component analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010359780
Saved in:
6
Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010348324
Saved in:
7
Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
2014
about multivariate models of
time-varying
conditional covariance and correlation models. …
Persistent link: https://www.econbiz.de/10010250536
Saved in:
8
Volatility Spillovers from the US to Australia and China across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, R.J.
;
Singh, A.K.
-
Tinbergen Instituut
-
2013
observations to explore
time-varying
conditional and fitted correlations. There appears to be strong evidence of regime switching …
Persistent link: https://www.econbiz.de/10011255545
Saved in:
9
Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael
;
Radalj, Kim
-
Tinbergen Instituut
-
2013
market returns. Using various
time-varying
volatility models to accommodate conditional heteroskedasticity, the empirical …
Persistent link: https://www.econbiz.de/10011256404
Saved in:
10
Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael
;
Radalj, Radalj, K.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2013
both current and past market returns. Using various
time-varying
volatility models to accommodate conditional …
Persistent link: https://www.econbiz.de/10010731573
Saved in:
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