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Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors
He, Zonglu; Maekawa, Koichi; McAleer, Michael - In: The Japanese economic review : the journal of the … 54 (2003) 4, pp. 420-438
Persistent link: https://www.econbiz.de/10001866933
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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
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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
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Simple procedures for testing autoregressive versus moving average errors in regression models
McKenzie, Colin; McAleer, Michael; Gill, Len - In: The Japanese economic review : the journal of the … 50 (1999) 3, pp. 239-252
Persistent link: https://www.econbiz.de/10001470195
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On efficient estimation and correct inference in models with generated regressors : a general approach
McKenzie, Colin - In: The Japanese economic review : the journal of the … 48 (1997) 4, pp. 368-389
Persistent link: https://www.econbiz.de/10001235670
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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