Stock Volatility and the Crash of '87
Citations
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Cited by:
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International Review of Economics & Finance,
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- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," KIER Working Papers 727, Kyoto University, Institute of Economic Research.
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"The Distribution of Exchange Rate Volatility,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-059, New York University, Leonard N. Stern School of Business-.
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"Modelling Long Memory Volatility In Agricultural Commodity Futures Returns,"
Annals of Financial Economics (AFE),
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- Michael McAleer & Chia-Lin Chang & Roengchai Tansuchat, 2012. "Modelling Long Memory Volatility in Agricultural Commodity Futures Return," KIER Working Papers 817, Kyoto University, Institute of Economic Research.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," CARF F-Series CARF-F-183, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2012. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Econometric Institute Research Papers EI 2012-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2012. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Working Papers in Economics 12/09, University of Canterbury, Department of Economics and Finance.
- Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Econometric Institute Research Papers EI 2009-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2012. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Documentos de Trabajo del ICAE 2012-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised May 2012.
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"Multifrequency news and stock returns,"
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Research in Economics,
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"The effect of net positions by type of trader on volatility in foreign currency futures markets,"
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"Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results,"
Journal of Business & Economic Statistics,
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"Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process,"
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Peace Economics, Peace Science, and Public Policy,
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