Similar Search Results

A fractionally integrated Wishart stochastic volatility model

Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 1/3, pp. 42-59

Persistent link: https://www.econbiz.de/10011794625

Estimation and testing for unit root processes with GARCH (1, 1) errors : theory and Monte Carlo evidence

Ling, Shiqing; Li, Wai Keung; McAleer, Michael - In: Econometric reviews 22 (2003) 2, pp. 179-202

Persistent link: https://www.econbiz.de/10001761653

Cointegration and direct tests of the rational expectations hypothesis

McAleer, Michael - In: Econometric reviews 13 (1994) 2, pp. 231-258

Persistent link: https://www.econbiz.de/10001163111

Alternative asymmetric stochastic volatility models

Asai, Manabu; McAleer, Michael - In: Econometric reviews 30 (2011) 5, pp. 548-564

Persistent link: https://www.econbiz.de/10009130226

On the invertibility of EGARCH(p, q)

Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849

Persistent link: https://www.econbiz.de/10012040413

Measuring the volatility in US treasury benchmarks and debt instruments

Hoti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; … - In: Econometric reviews 28 (2009) 6, pp. 522-554

Persistent link: https://www.econbiz.de/10003881186

Special issue: Realized volatility and long memory

Maasoumi, Esfandiar (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003761206

Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Persistent link: https://www.econbiz.de/10012626690

Asymmetric multivariate stochastic volatility

Asai, Manabu; McAleer, Michael - In: Econometric reviews 25 (2006) 2/3, pp. 453-473

Persistent link: https://www.econbiz.de/10003355815

Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18

investment strategies and a variety of hold-out periods and backtests. We commence by using four two-year estimation periods and …

Persistent link: https://www.econbiz.de/10011543960