Elton Daal

University of New Orleans - College of Business Administration - Department of Economics and Finance

2000 Lakeshore Drive

New Orleans, LA 70148

United States

SCHOLARLY PAPERS

5

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CROSSREF CITATIONS

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Scholarly Papers (5)

1.

A Comparison of Mixed Garch-Jump Models with Skewed T-Distribution for Asset Returns

Number of pages: 47 Posted: 22 Feb 2005
Jung-Suk Yu and Elton Daal
School of Urban Planning & Real Estate Studies, Dankook University and University of New Orleans - College of Business Administration - Department of Economics and Finance
Downloads 924 (28,024)
Citation 3

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Mixed GARCH-jump models, Skewed t-distribution, GARJI model, Likelihood ratio test, Information criteria, VaR

2.

Volatility Clustering, Leverage Effects, and Jumps Dynamics in Emerging Asian Equity Markets

Number of pages: 47 Posted: 08 Mar 2005
Elton Daal, Atsuyuki Naka and Jung-Suk Yu
University of New Orleans - College of Business Administration - Department of Economics and Finance, University of New Orleans - College of Business Administration - Department of Economics and Finance and School of Urban Planning & Real Estate Studies, Dankook University
Downloads 265 (130,868)
Citation 1

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GARCH-jump models, jump predictability, volatility clustering, leverage effects, leptokurtosis

3.

An Examination on the Roles of Diffusions and Stochastic Volatility in the Exponential Levy Jumps Models

Number of pages: 57 Posted: 27 Feb 2006
Elton Daal and Jung-Suk Yu
University of New Orleans - College of Business Administration - Department of Economics and Finance and School of Urban Planning & Real Estate Studies, Dankook University
Downloads 156 (213,596)

Abstract:

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Levy processes, stochastic volatility, characteristic functions, fast Fourier transform, option pricing

4.

Does Futures Exhibit Maturity Effect? New Evidence from an Extensive Set of Us and Foreign Futures Contracts

Review of Financial Economics, Vol. 15, No. 2, 2006
Posted: 16 May 2009
Elton Daal, Joseph B. Farhat and Peihwang Wei
University of New Orleans - College of Business Administration - Department of Economics and Finance, Central Connecticut State University - Department of Finance and University of New Orleans - College of Business Administration - Department of Economics and Finance

Abstract:

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Maturity effect, Futures prices volatility, Futures markets

5.

Re-Examining Inflation and Inflation Uncertainty in Developed and Emerging Countries

Economics Letters, Vol. 88, No. 3, pp. 295-438, September 2005
Posted: 30 May 2006
Elton Daal, Atsuyuki Naka and Benito Sanchez
University of New Orleans - College of Business Administration - Department of Economics and Finance, University of New Orleans - College of Business Administration - Department of Economics and Finance and University of New Orleans - College of Business Administration - Department of Economics and Finance

Abstract:

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Inflation uncertainty, asymmetric power GARCH, granger causality