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Stationarity and the existence of moments of a family of GARCH processes

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Cited by:

  1. Chia-Lin Chang & Michael Mcaleer, 2012. "Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates," The Japanese Economic Review, Japanese Economic Association, vol. 63(3), pages 397-419, September.
  2. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
  3. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Modelling the asymmetric volatility of anti-pollution patents in the USA," Scientometrics, Springer;Akadémiai Kiadó, vol. 59(2), pages 179-197, February.
  4. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019. "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
  5. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
  6. Markus Haas, 2018. "A note on the absolute moments of the bivariate normal distribution," Economics Bulletin, AccessEcon, vol. 38(1), pages 650-656.
  7. Charles, Amélie & Darné, Olivier, 2014. "Volatility persistence in crude oil markets," Energy Policy, Elsevier, vol. 65(C), pages 729-742.
  8. Saidi, Youssef & Zakoian, Jean-Michel, 2006. "Stationarity and geometric ergodicity of a class of nonlinear ARCH models," MPRA Paper 61988, University Library of Munich, Germany, revised 2006.
  9. Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  10. Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 761, Kyoto University, Institute of Economic Research.
  11. Chia-Lin Chang & Michael McAleer & Christine Lim, 2010. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Working Papers in Economics 10/40, University of Canterbury, Department of Economics and Finance.
  12. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  13. Chu, L. & McAleer, M.J. & Chen, C-C., 2009. "How Volatile is ENSO?," Econometric Institute Research Papers EI 2009-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  14. Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  15. Chang, Chia-Lin & Huang, Biing-Wen & Chen, Meng-Gu & McAleer, Michael, 2011. "Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1491-1506.
  16. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2008. "A decision rule to minimize daily capital charges in forecasting value-at-risk," Econometric Institute Research Papers EI 2008-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  17. Asai, Manabu & McAleer, Michael & de Veiga, Bernardo, 2008. "Portfolio single index (PSI) multivariate conditional and stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 209-214.
  18. Chia-Lin Chang & Michael Mcaleer, 2009. "Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan," Korean Economic Review, Korean Economic Association, vol. 25, pages 241-267.
  19. Smallwood, Aaron D., 2019. "Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH-based approach," Economic Modelling, Elsevier, vol. 82(C), pages 332-344.
  20. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," Working Papers in Economics 10/55, University of Canterbury, Department of Economics and Finance.
  21. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  22. Abdul Hakim & Michael McAleer, 2010. "Modelling the interactions across international stock, bond and foreign exchange markets," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 825-850.
  23. Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does The Great Recession Imply The End Of The Great Moderation? International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 745-760, April.
  24. Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235.
  25. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
  26. Michael Mcaleer & Bernardo da Veiga, 2008. "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 1-19.
  27. Chia-Lin Chang & Michael McAleer & Christine Lim, 2009. "Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan," CIRJE F-Series CIRJE-F-647, CIRJE, Faculty of Economics, University of Tokyo.
  28. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
  29. Li, Ming-Yuan Leon, 2009. "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3076-3088.
  30. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2016. "Inference in VARs with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 191(1), pages 69-85.
  31. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  32. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2012. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," JRFM, MDPI, vol. 5(1), pages 1-37, December.
  33. Michael McAleer, 2009. "The Ten Commandments For Optimizing Value‐At‐Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
  34. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2015. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 740-759, October.
  35. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
  36. Yang, Yung-Lieh & Chang, Chia-Lin, 2008. "A double-threshold GARCH model of stock market and currency shocks on stock returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 458-474.
  37. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Amaral, Teodosio Perez, 2013. "The rise and fall of S&P500 variance futures," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 151-167.
  38. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 155-171.
  39. Matteo Manera & Michael McAleer & Margherita Grasso, 2006. "Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns," Applied Financial Economics, Taylor & Francis Journals, vol. 16(7), pages 525-533.
  40. Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2008. "Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00270719, HAL.
  41. Chia-Lin Chang & Thanchanok Khamkaew & Roengchai Tansuchat & Michael McAleer, 2011. "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Tourism Economics, , vol. 17(3), pages 481-507, June.
  42. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
  43. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
  44. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
  45. He, Yongda & Lin, Boqiang, 2023. "Is market power the cause of asymmetric pricing in China's refined oil market?," Energy Economics, Elsevier, vol. 124(C).
  46. Marcelo C. Medeiros & Eduardo F. Mendes, 2015. "l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations," Textos para discussão 636, Department of Economics PUC-Rio (Brazil).
  47. Watkins, Clinton & McAleer, Michael, 2005. "Related commodity markets and conditional correlations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 567-579.
  48. Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  49. Luis Gil-Alana, 2010. "Testing persistence in the context of conditional heteroscedasticity errors," Applied Financial Economics, Taylor & Francis Journals, vol. 20(22), pages 1709-1723.
  50. Haas, Markus, 2009. "Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes," Statistics & Probability Letters, Elsevier, vol. 79(15), pages 1674-1683, August.
  51. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
  52. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, CEPII research center, issue 157, pages 179-202.
  53. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, 0000. "Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers 09-039/4, Tinbergen Institute.
  54. Amélie Charles & Olivier Darné, 2021. "Econometric history of the growth–volatility relationship in the USA: 1919–2017," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 15(2), pages 419-442, May.
  55. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
  56. Dora Marinova & Michael McAleer, 2002. "Trends and volatility in Japanese patenting in the USA: An analysis of the electronics and transport industries," Scientometrics, Springer;Akadémiai Kiadó, vol. 55(2), pages 171-187, August.
  57. Massimiliano Caporin & Michael McAleer, 2011. "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
  58. Tao, Juan & Green, Christopher J., 2012. "Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 26-37.
  59. Harvey, A. & Chakravarty, T., 2008. "Beta-t-(E)GARCH," Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge.
  60. Chan, Felix & Marinova, Dora & McAleer, Michael, 2004. "Modelling the asymmetric volatility of electronics patents in the USA," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 169-184.
  61. Carol Alexander & Emese Lazar & Silvia Stanescu, 2010. "Analytic Moments for GARCH Processes," ICMA Centre Discussion Papers in Finance icma-dp2011-07, Henley Business School, University of Reading, revised Apr 2011.
  62. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534.
  63. Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015. "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers 1512.01676, arXiv.org.
  64. Meitz, Mika & Saikkonen, Pentti, 2008. "Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1291-1320, October.
  65. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
  66. George Kapetanios & Elias Tzavalis, 2006. "Stochastic Volatility Driven by Large Shocks," Working Papers 568, Queen Mary University of London, School of Economics and Finance.
  67. Mawuli Segnon & Stelios Bekiros, 2020. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 16(3), pages 435-462, September.
  68. Divino, Jose Angelo & McAleer, Michael, 2010. "Modelling and forecasting daily international mass tourism to Peru," Tourism Management, Elsevier, vol. 31(6), pages 846-854.
  69. Zhang, Xingfa & Zhang, Rongmao & Li, Yuan & Ling, Shiqing, 2022. "LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise," Journal of Econometrics, Elsevier, vol. 227(1), pages 228-240.
  70. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 208-230, Spring.
  71. Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
  72. Lee, O. & Shin, D. W., 2004. "Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility," Economics Letters, Elsevier, vol. 84(2), pages 167-173, August.
  73. Lan-Fen Chu & Michael McAleer & Chi-Chung Chen, 2012. "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," Journal of Reviews on Global Economics, Lifescience Global, vol. 1, pages 1-12.
  74. Ngai Sze Han & Shiqing Ling, 2017. "Goodness-Of-Fit Test For Nonlinear Time Series Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-21, June.
  75. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  76. Kazakevicius, Vytautas & Leipus, Remigijus & Viano, Marie-Claude, 2004. "Stability of random coefficient ARCH models and aggregation schemes," Journal of Econometrics, Elsevier, vol. 120(1), pages 139-158, May.
  77. Lumengo Bonga-Bonga & Tebogo Maake, 2021. "The Relationship between Carry Trade and Asset Markets in South Africa," JRFM, MDPI, vol. 14(7), pages 1-13, July.
  78. Choi, M.S. & Park, J.A. & Hwang, S.Y., 2012. "Asymmetric GARCH processes featuring both threshold effect and bilinear structure," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 419-426.
  79. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo.
  80. Karanasos, Menelaos & Kim, Jinki, 2006. "A re-examination of the asymmetric power ARCH model," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 113-128, January.
  81. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  82. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
  83. Watkins, Clinton & McAleer, Michael, 2008. "How has volatility in metals markets changed?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 237-249.
  84. Ha, Jeongcheol & Lee, Taewook, 2011. "NM-QELE for ARMA-GARCH models with non-Gaussian innovations," Statistics & Probability Letters, Elsevier, vol. 81(6), pages 694-703, June.
  85. Białkowski, Jędrzej & Bohl, Martin T. & Kaufmann, Philipp & Wisniewski, Tomasz P., 2013. "Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey," Emerging Markets Review, Elsevier, vol. 15(C), pages 211-232.
  86. Hoti, Suhejla, 2005. "Modelling country spillover effects in country risk ratings," Emerging Markets Review, Elsevier, vol. 6(4), pages 324-345, December.
  87. Chris D. Orme & Takashi Yamagata, 2014. "A Heteroskedasticity-Robust F -Test Statistic for Individual Effects," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 431-471, August.
  88. Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, vol. 46(P2), pages 139-150.
  89. Hari Sharma Neupane & Chandra Lal Shrestha & Tara Prasad Upadhyaya, 2012. "Modelling Monthly International Tourist Arrivals and Its Risk in Nepal," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 24(1), pages 28-47, April.
  90. Francq, Christian & Zakoian, Jean-Michel, 2021. "Testing the existence of moments and estimating the tail index of augmented garch processes," MPRA Paper 110511, University Library of Munich, Germany.
  91. Marco Bee & Debbie J. Dupuis & Luca Trapin, 2016. "US stock returns: are there seasons of excesses?," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1453-1464, September.
  92. Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June.
  93. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 602-623.
  94. Cuong Nguyen & M. Bhatti & Aziz Hayat, 2014. "Volatility linkages in the spot and futures market in Australia: a copula approach," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(5), pages 2589-2603, September.
  95. Wang, Kai-Li & Fawson, Christopher & Chen, Mei-Ling & Wu, An-Chi, 2014. "Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 115-137.
  96. Wan, Xiaoli & Yan, Yuruo & Zeng, Zhixiong, 2020. "Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  97. So, Mike K.P. & Chung, Ray S.W., 2015. "Statistical inference for conditional quantiles in nonlinear time series models," Journal of Econometrics, Elsevier, vol. 189(2), pages 457-472.
  98. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
  99. Shareef, Riaz & McAleer, Michael, 2008. "Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 459-468.
  100. repec:hal:wpaper:hal-01943883 is not listed on IDEAS
  101. Kyungwon Kim & Jae Wook Song, 2020. "Detecting Possible Reduction of the Housing Bubble in Korea for Different Residential Types and Regions," Sustainability, MDPI, vol. 12(3), pages 1-31, February.
  102. Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain," CIRJE F-Series CIRJE-F-665, CIRJE, Faculty of Economics, University of Tokyo.
  103. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Volatility in Global Fertilizer Prices," Working Papers in Economics 10/46, University of Canterbury, Department of Economics and Finance.
  104. Haas, Markus, 2010. "Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations," Finance Research Letters, Elsevier, vol. 7(2), pages 86-97, June.
  105. Divino, J.A. & McAleer, M.J., 2008. "Modelling sustainable international tourism demand to the Brazilian Amazon," Econometric Institute Research Papers EI 2008-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  106. Accolley, Delali, 2021. "Some Markov-Switching Models for the Toronto Stock Exchange," MPRA Paper 108072, University Library of Munich, Germany.
  107. Li, Ming-Yuan Leon, 2008. "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 511-520.
  108. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Trends and volatilities in foreign patents registered in the USA," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 585-592.
  109. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
  110. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723.
  111. Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil).
  112. Kostyrka, Andreï & Malakhov, Dmitry, 2021. "Was there ever a shift: Empirical analysis of structural-shift tests for return volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 110-139.
  113. Baur, Dirk G. & Dimpfl, Thomas & Kuck, Konstantin, 2018. "Bitcoin, gold and the US dollar – A replication and extension," Finance Research Letters, Elsevier, vol. 25(C), pages 103-110.
  114. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
  115. Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
  116. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911.
  117. Huang, Biing-Wen & Chen, Meng-Gu & Chang, Chia-Lin & McAleer, Michael, 2009. "Modelling risk in agricultural finance: Application to the poultry industry in Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1472-1487.
  118. Hoti, Suhejla, 2005. "Comparative analysis of risk ratings for the East European region," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 449-462.
  119. Suhejla Hoti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2009. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 522-554.
  120. Shekar Bose & Hafizur Rahman, 2022. "Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market," SAGE Open, , vol. 12(4), pages 21582440221, October.
  121. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
  122. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," IHEID Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies.
  123. Manabu Asai, 2013. "Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(5), pages 469-480, August.
  124. Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2015. "Structure and asymptotic theory for nonlinear models with GARCH erros," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 16(1), pages 1-21.
  125. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.
  126. Giam Quang Do & Michael Mcaleer & Songsak Sriboonchitta, 2009. "Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets," Economics Bulletin, AccessEcon, vol. 29(2), pages 599-610.
  127. Chopra, Parvesh K. & Kanji, Gopal K., 2010. "On Measuring Country Risk: A new System Modelling Approach - La misura del rischio paese: un nuovo approccio system modelling," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 63(4), pages 479-515.
  128. Aknouche, Abdelhakim & Bentarzi, Mohamed, 2008. "On the existence of higher-order moments of periodic GARCH models," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3262-3268, December.
  129. Verhoeven, Peter & McAleer, Michael, 2004. "Fat tails and asymmetry in financial volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 351-361.
  130. McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August.
  131. Medeiros, Marcelo C. & Mendes, Eduardo F., 2016. "ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 191(1), pages 255-271.
  132. Muthucattu Thomas Paul, 2018. "The Issues and Implications About the Volatility of the Stock and the Bond Prices and Their Returns and the Volatility of Interest Rates and Inflation - Which Are Being Researched in Finance and Macro," Applied Economics and Finance, Redfame publishing, vol. 5(2), pages 125-142, March.
  133. Bartolomé, Ana & McAleer, Michael & Ramos, Vicente & Rey-Maquieira, Javier, 2009. "A risk map of international tourist regions in Spain," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2741-2758.
  134. Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Cruising is Risky Business," CIRJE F-Series CIRJE-F-664, CIRJE, Faculty of Economics, University of Tokyo.
  135. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.
  136. Alex Huang, 2011. "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact," Computational Economics, Springer;Society for Computational Economics, vol. 37(3), pages 301-330, March.
  137. Lönnbark, Carl, 2017. "Long vs. short term asymmetry in volatility and the term structure of risk," Finance Research Letters, Elsevier, vol. 23(C), pages 202-209.
  138. Ng, Hock Guan & McAleer, Michael, 2004. "Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations," International Journal of Forecasting, Elsevier, vol. 20(1), pages 115-129.
  139. Xuejie Feng & Chiping Zhang, 2020. "A Perturbation Method to Optimize the Parameters of Autoregressive Conditional Heteroscedasticity Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 1021-1044, March.
  140. Hoti, Suhejla & McAleer, Michael & Pauwels, Laurent L., 2008. "Multivariate volatility in environmental finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 189-199.
  141. Hoti, Suhejla & McAleer, Michael & Chan, Felix, 2005. "Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 69(1), pages 46-56.
  142. Grier, Kevin B. & Smallwood, Aaron D., 2013. "Exchange rate shocks and trade: A multivariate GARCH-M approach," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 282-305.
  143. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
  144. Sang Hoon Kang & SEONG-MIN YOON, 2008. "Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market," Korean Economic Review, Korean Economic Association, vol. 24, pages 383-412.
  145. Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.
  146. Hari Sharma Neupane & Chandra Lal Shrestha & Tara Prasad Upadhyaya, 2012. "Modelling Monthly International Tourist Arrivals and Its Risk in Nepal," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 24(1), pages 28-47, April.
  147. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2007. "Measuring Risk In Environmental Finance," Journal of Economic Surveys, Wiley Blackwell, vol. 21(5), pages 970-998, December.
  148. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
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