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Block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008688575
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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010410186
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010410195
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
Persistent link: https://www.econbiz.de/10010410204
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Testing the Box-Cox parameter for an integrated process
Huang, Jian; Kobayashi, Masahito; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008760495
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Alternative asymmetric stochastic volatility models
Asai, Manabu; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008760507
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009562985
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Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10011296515
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Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao; McAleer, Michael; Oya, Kosuke - 2011 - 1. version, rev.
Persistent link: https://www.econbiz.de/10009012211