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Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Econometric reviews 40 (2021) 3, pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
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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
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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
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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
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Special issue: Realized volatility and long memory
Maasoumi, Esfandiar (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003761206
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The impact of jumps and leverage in forecasting covolatility
Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 6/9, pp. 638-650
Persistent link: https://www.econbiz.de/10011795307
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Multivariate stochastic volatility : a review
Asai, Manabu; McAleer, Michael; Yu, Jun - In: Econometric reviews 25 (2006) 2/3, pp. 145-175
Persistent link: https://www.econbiz.de/10003355704
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Structure and asymptotic theory for multivariate asymmetric conditional volatility
McAleer, Michael; Hoti, Suhejla; Chan, Felix - In: Econometric reviews 28 (2009) 5, pp. 422-440
Persistent link: https://www.econbiz.de/10003873066
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Realized volatility : a review
McAleer, Michael; Medeiros, Marcelo C. - In: Econometric reviews 27 (2008) 1/3, pp. 10-45
Persistent link: https://www.econbiz.de/10003761211
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Dynamic asymmetric leverage in stochastic volatility models
Asai, Manabu; McAleer, Michael - In: Econometric reviews 24 (2005) 3, pp. 317-332
Persistent link: https://www.econbiz.de/10003105638