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Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

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/10010417180

The econometrics of financial time series

McAleer, Michael; Oxley, Les - In: Contributions to financial econometrics : theoretical …, (pp. 1-7). 2003

Persistent link: https://www.econbiz.de/10001932648

Recent theoretical results for time series models with GARCH errors

Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Contributions to financial econometrics : theoretical …, (pp. 9-33). 2003

Persistent link: https://www.econbiz.de/10001932650

Ten things you should know about the dynamic conditional correlation representation

Caporin, Massimiliano; McAleer, Michael - In: Econometrics : open access journal 1 (2013) 1, pp. 115-126

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...

Persistent link: https://www.econbiz.de/10009776381

The fiction of full BEKK : pricing fossil fuels and carbon emissions

Chang, Chia-Lin; McAleer, Michael - In: Finance research letters 28 (2019), pp. 11-19

Persistent link: https://www.econbiz.de/10012384032