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Structure and asymptotic theory for STAR(1)-GARCH(1,1) models

Chan, Felix (contributor); McAleer, Michael (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003220873

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

McAleer, Michael (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003460319

Forecasting realized volatility with linear and nonlinear models

McAleer, Michael; Medeiros, Marcelo C. - 2010

In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from...

Persistent link: https://www.econbiz.de/10003962167

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

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

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109

In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10011553303

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011555743

Moment based estimation of smooth transition regression models with endogenous variables

Areosa, Waldyr Dutra; McAleer, Michael; Medeiros, Marcelo C. - 2010

exogeneity, the standard method of estimation is nonlinear least squares. The primary purpose of this paper is to relax the … endogeneity, developing an estimation procedure and a misspecification test for the STR model, presenting the results of Monte … Carlo simulations to show the usefulness of the model and estimation method, and providing an empirical application for …

Persistent link: https://www.econbiz.de/10008657344

The Journal of Risk and Financial Management in open access

McAleer, Michael - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10011553413

Realized volatility : a review

McAleer, Michael (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003390391