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person:"McAleer, Michael"
~isPartOf:"Econometric reviews"
~person:"Alghalith, Moawia"
~person:"Boswijk, Herman Peter"
~person:"Cavaliere, Giuseppe"
~person:"Jawadi, Fredj"
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McAleer, Michael
Alghalith, Moawia
Boswijk, Herman Peter
Cavaliere, Giuseppe
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6
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
3
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
4
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Cavaliere, Giuseppe
;
Skrobotov, Anton
;
Taylor, Robert
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 509-532
Persistent link: https://www.econbiz.de/10012181330
Saved in:
5
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
Saved in:
6
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
7
The impact of jumps and leverage in forecasting covolatility
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 638-650
Persistent link: https://www.econbiz.de/10011795307
Saved in:
8
Estimating the stock/portfolio volatility and the volatility of volatility : a new simple method
Alghalith, Moawia
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 257-262
Persistent link: https://www.econbiz.de/10011549920
Saved in:
9
Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe
;
Phillips, Peter C. B.
;
Smeekes, Stephan
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
Saved in:
10
Alternative asymmetric stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
30
(
2011
)
5
,
pp. 548-564
Persistent link: https://www.econbiz.de/10009130226
Saved in:
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