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~isPartOf:"Applied financial economics"
~isPartOf:"China economic review : an international journal"
~isPartOf:"Journal of econometrics"
~person:"McAleer, Michael"
~person:"Wang, Yazhen"
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ECONIS (ZBW)
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1
An econometric analysis of asymmetric volatility : theory and application to patents
McAleer, Michael
;
Chan, Felix
;
Marinova, Dora
- In:
Journal of econometrics
139
(
2007
)
2
,
pp. 259-284
Persistent link: https://www.econbiz.de/10003485356
Saved in:
2
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
3
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
4
Efficient
estimation
and testing of oil futures contracts in a mutual offset system
McAleer, Michael
;
Sequeira, John M.
- In:
Applied financial economics
14
(
2004
)
13
,
pp. 953-962
Persistent link: https://www.econbiz.de/10002195488
Saved in:
5
Testing the risk premium and cost-of-carry hypotheses for currency futures contracts
Sequeira, John M.
;
McAleer, Michael
- In:
Applied financial economics
10
(
2000
)
3
,
pp. 277-289
Persistent link: https://www.econbiz.de/10001526288
Saved in:
6
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
7
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
8
Adaptive thresholding for large volatility matrix
estimation
based on high-frequency financial data
Kim, Donggyu
;
Kong, Xin-Bing
;
Li, Cui-Xia
;
Wang, Yazhen
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
Saved in:
9
Modelling time-vaying conditionl correlations in the volatility of Tapus oil spot and forward returns
Manera, Matteo
;
McAleer, Michael
;
Grasso, Margherita
- In:
Applied financial economics
16
(
2006
)
7
,
pp. 525-533
Persistent link: https://www.econbiz.de/10003320406
Saved in:
10
Patent activity and technical change
Basmann, Robert L.
;
McAleer, Michael
;
Slottje, Daniel …
- In:
Journal of econometrics
139
(
2007
)
2
,
pp. 355-375
Persistent link: https://www.econbiz.de/10003485371
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