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Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers

Chan, Felix; McAleer, Michael - In: Applied financial economics 13 (2003) 8, pp. 581-592

Persistent link: https://www.econbiz.de/10001770826

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

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

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

Pricing of non-ferrous metals futures on the London metal exchange

Watkins, Clinton; McAleer, Michael - In: Applied financial economics 16 (2006) 12, pp. 853-880

Persistent link: https://www.econbiz.de/10003377835

The pecking order hypothesis : Australian evidence

Allen, David E. - In: Applied financial economics 3 (1993) 2, pp. 101-112

Persistent link: https://www.econbiz.de/10001145258

The long-run gains from international equity diversification : Australian evidence from cointegration tests

Allen, David E. - In: Applied financial economics 5 (1995) 1, pp. 33-42

Persistent link: https://www.econbiz.de/10001177192

Dividend policy and stock price volatility : Australian evidence

Allen, David E. - In: Applied financial economics 6 (1996) 2, pp. 175-188

Persistent link: https://www.econbiz.de/10001198667

The long-run performance of initial public offerings in Thailand

Allen, David E.; Morkel-Kingsbury, N. J.; … - In: Applied financial economics 9 (1999) 3, pp. 215-232

Persistent link: https://www.econbiz.de/10001454429

Empirical performance of affine option pricing models : evidence from the Australian index options market

Sharp, Timothy; Li, Steven; Allen, David E. - In: Applied financial economics 20 (2010) 4/6, pp. 501-514

This article investigates the performance of affine option pricing models in the context of the Australian Standard & Poor's (S&P)/Australian Stock Exchange (ASX) 200 index option market. This investigation is done through the implicit estimation of the risk neutral parameters of affine option...

Persistent link: https://www.econbiz.de/10003963448