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Simplicity, scientific inference and econometric modelling
Keuzenkamp, Hugo A.; McAleer, Michael - 1994 - Rev.
Persistent link: https://www.econbiz.de/10000560594
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009765832
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010405194
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Simplicity, scientific inference and econometric modelling
Keuzenkamp, Hugo A.; McAleer, Michael - 1995
Persistent link: https://www.econbiz.de/10000904872
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An entropy based analysis of the relationship between the DOW JONES Index and the TRNA sentiment series
Allen, David E.; McAleer, Michael; Singh, Abhay K - 2016
the stock prices of these companies using entropy measures. The entropy and Mutual Information (MI) statistics permit an … analysis of the amount of information within the sentiment series, its relationship to the DJIA and an indication of how the …
Persistent link: https://www.econbiz.de/10011456716
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An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - In: Applied economics 49 (2017) 7, pp. 677-692
Persistent link: https://www.econbiz.de/10011810876