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Ten things we should know about time series
McAleer, Michael; Oxley, Les - 2010
Persistent link: https://www.econbiz.de/10003989650
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Structure and asymptotic theory for nonlinear models with GARCH errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
processes or the associated asymptotic theory. In this paper, we first derive necessary conditions for strict stationarity and …
Persistent link: https://www.econbiz.de/10008840775
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987330
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Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies
Allen, David E.; McAleer, Michael; Shelton, Peiris; … - 2015
Persistent link: https://www.econbiz.de/10011432736
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Forecasting realized volatility with linear and nonlinear models
McAleer, Michael; Medeiros, Marcelo C. - 2009
Persistent link: https://www.econbiz.de/10003910296
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A simple expected volatility (SEV) index : application to SET50 index options
Wiphatthanananthakul, Chatayan; McAleer, Michael - 2008
Persistent link: https://www.econbiz.de/10003893426
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Evaluating combined non-replicable forecasts
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2010 - Rev.
modifies the estimation routine due to the assumption that the difference between a replicable and a non-replicable forecast …
Persistent link: https://www.econbiz.de/10008840805
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Are forecast updates progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987649
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009755013
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987324