Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

By Michael Mcaleer, Suhejla Hoti, Felix Chan. 2009

224 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1476fe11f1070808767d7cc6c971809da61cee54

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Citations in the corpus

The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges (2009, unknown): “McAleer, Jimenez-Martin and Perez Amaral (2009) assess whether the Basel II”
Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014, methodology): “…previous studies by comparing the performance of the dynamic conditional correlation AGARCH (DCC-AGARCH) model of Engle (2002) with the VARMA-AGARCH model of McAleer et al. (2009), to study the dynamic correlations between emerging market stock prices, copper prices, oil prices and wheat prices.”
Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness (2014, background): “…vector autoregressive-generalized autoregressive conditional heteroscedasticity models, VAR–GARCH developed by Ling and McAleer (2003), VAR–AGARCH proposed by McAleer et al. (2009) capable of capturing asymmetric relationships between returns, and the DCC–GARCHmodel proposed by Engle (2002).”
A One Line Derivation of EGARCH (2014, methodology): “The GJR model has a multivariate counterpart in the VARMA-AGARCH model of McAleer, Hoti and Chan [10].”
Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011, background): “3 It is worth emphasizing that the model VAR-GARCH with dynamic conditional correlations has not been analysed theoretically yet (McAleer et al., 2009).”
Biofuel-related price transmission literature: A review (2013, methodology): “Some popular specifications include the multivariate extension of the model by Glosten et al. (1993) proposed by McAleer et al. (2009), the matrix-exponential GARCH (Kawakatsu, 2006), or the asymmetric Baba–Engle–Kraft–Kroner (BEKK) model (Engle and Kroner, 1995) proposed by Kroner and Ng (1998).”
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (2011, methodology): “By extending the GJR model (Glosten, Jaganathan and Runkle, 1993), the CCC asymmetric GARCH (AGARCH) model—recently studied by McAleer, Hoti, and Chan (2009)— allows for asymmetric impacts of past returns on the current volatility.”